Hmm.. My niece got scammed like this in London last year.. Lost £1000... Western Union will tell you it's not their problem and that's the last you'll hear of it.

It's unlikely the scammer will be in contact with you ever again.. After all, what they're doing is illegal.. The whole point of this is that they don't WANT to be found..

I would discuss identity fraud with your bank if there were enough details on your communications for them to "become you" in any way.. Swiss banks are among the safest in the world though, so you will probably be ok.