The interconnections between financial markets and macroeconomic stability of sovereigns is currently under the spot light. In fact, all members of the European Monetary Union (EMU) experienced in the past years some degree of economic distress caused by chain-reaction mechanisms; however, reactions to financial shocks differ greatly among them. The credit risk score attributed to a country by rating agencies express indeed also the resiliency to financial disturbances. The first goal of this work is to build a quantitative credit risk score that combines macroeconomic and financial variables, which can also help in explaining the country-specific reactions. We select as macroeconomic variables the primary fiscal deficit and the ratio public debt/GDP, that are also subject to limitations after the Maastricht Treaty (1992). We add market yields of government bonds, that provide a timely insight into financial markets’ expectations. Their trend is moreover at the origin of chain-reaction mechanisms: e.g. Greece’s default (debt restructuring) became unavoidable since the country debt was excluded from secondary market.[...]