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There are many situations in which the country risk must be considered. Those situations could be when one wants to make an investment in another country; when a loan is given; or, even when a stronger and a more powerful economic union is desired. There are many ways to measure the country risk. These methods are created by central banks, rating agencies and international banking institutions. There is a new method the country risk can be measured, with the help of a financial instrument, derived from lending. This paper presents the bond between country risk and credit default swap. Because of the financial-economic crisis, the values of country risk fluctuated considerably, especially in those countries with a large public debt.