"UBS does not believe, as its base case that Greece, will leave the euro," Paul Donovan, UBS global economist, said in a video published by the bank's research team.
"However, there seems to be a belief in financial markets that if Greece were to be forced from the euro area it should be regarded as an isolated incident," he said. "This belief, seems to us, to be dangerous."
Read MoreGreece facing 'Lehman moment' as debt costs soar
Donovan said that the view that Greek problems were distinct from the rest of the euro zone was reflected in recent online search patterns: Searches on Google for the term "Grexit" had soared, while those for "euro crisis" or "euro collapse" had not, even though they did during the 2012 euro zone debt crisis.
In the latest crisis, government bond yields in peripheral euro zone countries—in the past viewed as most vulnerable to any Greek contagion—have not followed Greek bond yields higher.
Greek bond yields have risen sharply this week, reflecting the greater risk attached to holding them. Greece's benchmark 10-year bond yielded over 13 percent on Tuesday, well above Spain's 10-year yield at 1.48 percent and Portuguese yields at 2.12 percent.
Although this can partly be explained by the European Central Bank's (ECB) massive monetary stimulus program, which is putting downward pressure on yields, it also reflects diminished contagion fears.
"I don't get the sense that there is a widespread view that if a deal is not made and Greece exits the euro zone, you would have this massive contagion effect," Ben White, Politico's chief economic correspondent, told CNBC on Monday.