Traditionally, country-risk is defined with regard to the internal sociopolitical and economic conditions of the host country. In today’s international context, this narrow vision of country risk needs to be revised. Thus, from the analysis of the main changes in the international environment and based on the international Delphi inquiry, this article brings a clarification on the main elements of country risk in the current context of globalization. It suggests that the sources of risk in foreign markets are within interdependent set of political, sociocultural, economic and financial local factors as well as outside variables of influence, which facilitate the spread between countries. To better understand the risks faced by multinationals in foreign markets, the new approach proposes analysis of country risk using the concept of the global country risk which takes into account the regional and world influences as well as the national variables.