The banking fraternity may have rather a bad press in the UK. In Switzerland – where the profession is something of a national pursuit – I suspect things are a little more understanding. Not surprisingly when you find a Swiss bank that supports a ten-day classical music festival in one of the loveliest – and ritziest – corners of the country. It certainly gets a big thumbs up from me (sadly I don't expect my meagre funds would be of much interest to BSI, but their commitment to the arts is commendable: they even own a Guarneri violin – the 1737 Panette instrument). Well, BSI are principal sponsors of the Engadin Festival in the part of Switzerland where Italian is heard nearly as often as German and which claims San Moritz as its largest town.

The Engadin Festival has a long history – it's been going for 72 years, though under the name Engadiner Musikwochen – and has played host to some very distinguished artists. The artistic director of the Festival is Jan Schultz, a former horn-player with Amsterdam's Concertgebouw Orchestra, who now teaches, plays the piano and conducts (he's the pianist on a very fine Divox disc of a couple of Joseph Joachim's Raff's piano quartets and has conducted a series of ear-opening productions of operas in San Moritz of lesser-known works by major composers like Rossini and Verdi). His vision for the Engadin Festival is to bring major artists to this beautiful Swiss valley and have them perform in a series of striking settings. For the three days that I was in Pontresina, he certainly delivered.

The opening concert of the Festival took place in the Grand Hotel Kronenhof where I was staying, a luxurious establishment that was home to Richard Strauss and his grouchy wife Pauline while he wrote 'Frühling', the first of the Four Last Songs – enough to transform it into a shrine, so far as I'm concerned. The dining room of the Kronenhof – a splendid space complete with a faux-Tiepolo ceiling – made a fine venue for the opening concert, a very de luxe piano trio comprised of the pianist Khatia Buniatishvili, the violinist Patricia Kopatchinskaja and the cellist Sol Gabetta. The circumstances of the concert threatened to overshadow the music-making: the pianist Mihaela Ursuleasa – a regular partner and close friend of both Kopatchinskaja and Gabetta had been found dead that morning, aged just 33. Both women were clearly close to tears and the rawness of the emotion made the first half of the concert – Schubert's single-movement Notturno and Shostakovich’s Second Piano Trio – more an act of emotional exorcism than a totally nuanced pair of performances. Both works responded to the charge of the occasion bringing anger and desperation to the fore (not totally against the grain of the music). The second half, though, was much more satisfying: Tchaikovsky’s large and powerful Piano Trio in A minor, Op 50, a work written on the death of a friend and colleague, the great Nikolai Rubinstein; no wonder it suited the occasion and its programming was sadly apt. The three players rode the work's crests and valleys, Bunitiashvili proving a powerful player. Kopatchinskaja's wonderfully original approach made many of the melodies feel like genuine folk melodies and Gabetta – a former Gramophone Young Artist of the Year – once again proved what a superb musician she is, with a tone that could melt even the hardest of hearts. By the time the trio reaches the encore, a Piazzolla tango, the tears were gone and the mood lifted considerably.

The following night was a new experience for me: my first harp recital and I couldn’t have wished for a finer guide than in the French player Xavier de Maistre. A former player with the Vienna Philharmonic, de Maestre is a man with a mission and with a fresh, contemporary manner (and aided by his striking good looks), he’s a fine ambassador for this underappreciated instrument. With the fairly slender repertoire at his disposal, de Maistre mixed transcriptions with original creations – a Handel keyboard suite (which made the transformation effortlessly), a Tárrega guitar piece and a Granados piano solo to concert works by Parish-Alvars and Caplet. The encore, de Maistre’s own transcription of ‘Vltava’ from Smetana’s Ma vlast was superb – when it started I couldn’t imagine how a single player could manage its many layers, but de Maistre did it superbly, the swirling violins and big melody from the lower strings magnificently embraced by this single instrument. The setting for the concert was one of the tiniest venues I’ve ever been in for a concert – 50 seats – a glorious little mountain church in Fex-Crasta complete with murals that date back to the 16th century. And to cap the experience, as de Maistre tore into the Carnaval de Venise Variations by Godefroid the sound of the bells on the horse drawn carriages that had brought us up the hillside seeped into the church and blended with the harp creating a quite angelic blend.

Another church – a more modern one in Zuoz – played host to the principal oboist of the Berliner Philharmoniker, the superb Albrecht Mayer who was joined by pianist Evgenia Rubinova. In fact, because of the altitude of the setting and the eye-popping challenge of playing the oboe, Mayer took a well-deserved break between the duo works during which Rubinova gave us Debussy’s Estampes and a trio of Schubert-Liszt songs. Mayer’s stage manner and easy rapport with the audience was something that would make many other musicians very envious. The highlight of the evening was Schumann’s Romances, beautifully done and almost made for Mayer’s faultless technique and seemingly endless supply of puff (thanks to cirular breathing). Their reading of Vincent d’Indy’s Fantaisie sur des thèmes populaires français in a transcription for oboe and piano (making me long to hear the full orchestral original) was also very fine. Mayer and Rubinova ended with the Poulenc Oboe Sonata though, as he explained, they switched the last two movements, ending with a bang rather than a whimper – I’ve heard this done before, and while part of me understands exactly why you’d want to, I can’t help feeling that perhaps Poulenc knew what he was doing when he wrote this memorial for Sergei Prokofiev.

It's hard to imagine a lovelier setting for music, and the culture of the Engadin valley (it's about equidistant from Zurich and Milan) adds a spice that I found very appealing.