The economic recession in the European countries during the current financial crisis and the worsening of the financial situation in a number of countries have resulted in an increase of the sovereign debt risk. In this paper we use the method of self-organizing maps to propose a European classification according to the sovereign risk of each country. We detect different risk profiles across countries and identify the public expenditure and the saving rate as the most critical variables to assess the sovereign risk. In addition, since several countries of the European Union have regions with some degree of economic and financial competences, we study the influence of the regions on the country sovereign risk. We classify and compare the Spanish and German regions and we prove the impact of the regional situation on the whole country situation.