Usually means: Potential financial loss from location.
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We found 10 dictionaries that define the word country risk:

General (4 matching dictionaries)
  1. country risk: Collins English Dictionary
  2. country risk: Dictionary.com
  3. Country risk: Wikipedia, the Free Encyclopedia
  4. country risk: Wiktionary

Business (6 matching dictionaries)
  1. MoneyGlossary.com (No longer online)
  2. INVESTORWORDS (No longer online)
  3. Country risk: bizterms.net
  4. Country Risk: Investopedia
  5. Country risk: Financial dictionary
  6. BusinessDictionary.com (No longer online)

Definitions from Wiktionary (country risk)

noun:  (finance) The risk of investing or lending in a country, arising from possible changes in the business environment that may adversely affect operating profits or the value of assets in the country.

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