Sir Jon, currently the UK's permanent representative to the EU, told the Treasury Committee: "One of the lessons from 2007-08 is how shocks can be transmitted very quickly through the system - and we are a big international player. How well UK banks and institutions are provided against it, I don't know."
Sir Jon, being grilled by the committee on his appointment, went on: "I would expect the Bank of England to be making plans for it... there is anecdotal evidence that banks and others are thinking about how they would manage this. Just because in the past it has always been sorted out is absolutely not a reason to fail to do the contingency planning."
Sir Jon was number two at the Treasury in the years leading up to the financial crisis and chaired the tripartite committee on regulation in the months beforehand. He said the Treasury's post-crisis report had admitted "we had materially underestimated the need for staff".
Asked by Brooks Newmark MP whether "you had all bought into the idea that Gordon Brown had tamed the economic cycle forever", Sir Jon said the failure to predict the crisis "is something we saw across the world", with the exception of the Bank of International Settlements.
Asked by committee chairman Andrew Tyrie MP whether he agreed with the Banking Commission's conclusion that politicians had been "dazzled" by the power of the banks at the time, Sir Jon said: "We were all impressed by the apparent wealth creation and performance of the financial sector at that time, it was contributing a large amount of tax revenues in different countries and was taken very seriously as an economic sector."
On the risks of government initiatives inflating a housing bubble, Sir Jon said: "House prices to income ratios are probably where they were about 10 years ago. Prices are starting to rise but we are still coming from a relatively low base."
The Financial Policy Committee already had tools to tackle financial instability and should set a high bar before intervening with rules such as limits on loan to value ratios, he said.
Asked whether EU countries were hostile to Anglo-Saxon market capitalism, Sir Jon said many in the European Parliament and in Brussels blamed the US and UK for the eurozone crisis.
He said: "Some of the pressure in things like the Financial Transactions Tax has been in light of that, (the view) is strong in certain places."
He said the argument was not about financial services but about the model -"a distinction between a banking-driven financial sector and a market-driven financial sector".
Asked by Mr Tyrie whether the EU was moving towards a banking union that would inevitably include deposit insurance, Sir Jon said: "The steps that are being taken will protect the euro area against a certain level of risk but not against all risks."
He added: "I think it matters a lot to the UK that the banking union is as complete and effective as possible."
Sir Jon, 60, joined the civil service in 1980 and has had a wide variety of roles since then including stints at HM Treasury and the Prime Minister's Office.
He also led British negotiators at the G8 and G20 meetings during the financial crisis.
At the BoE, he takes up a five-year term which can be renewed once.