A try block will operate on any uncaught exceptions thrown by code within the try block. This includes methods you call, any methods those methods call, and so on. If the exception is thrown from one of those methods, it will "bubble up" through the program, breaking out of loops, methods, etc. until it reaches the last (i.e. deepest) try block to enclose it.
You could say that from the time you enter the try block until the time you leave it, any exceptions will immediately break out of the try and have the opportunity to be handled by it (unless they're caught by other try blocks nested inside it).
So to answer your question, if you know any exceptions are going to happen inside the event handler (or in methods called from inside that event handler), then wrapping the whole thing inside a try-catch-finally block will catch any exceptions (assuming an untyped catch).
Whether this is a good idea or not is a question of design. It usually isn't. You normally want to put your error-handlers fairly close to where the error might get thrown. However, without knowing your situation or your code, it's hard to give you any advice on design details like this.