I had the Bank phone me once, then start asking me security questions, I just answered that I could not be sure they were who they said they were
Quite right too, I always tell them that I will call them them back, but be carefully of the latest scam that takes this into account.
It works like this:- When you tell the caller that you will not talk to them as you are not sure they are from the bank, the purpitrator says "please hang up and call the number on the banks headed paper or the back of your credit/debit card". The problem is only the originator of the call can disconnect it, and putting 'your' phone down does not dissconnect it. So when you pick it up again and dial, the purpitrator is still on the other end, so you think you have dialled the bank but you have not. When you have finished dialing they then answer as if they are the bank and still manage to scam you.
The way to make sure this is not happening is to ensure you have a ring tone when you pick the phone up again to dial the bank. If you don't get a ring tone it means the purpitrator is still on the line, so just put the phone down, they will eventually get tired of waiting and disconnect the call.
Hope this helps prevent any of us getting caught out.
Graham