We introduce a dynamical country risk index for emerging economies. The proposal is based on the intensity approach of credit risk, i.e. the default is the first jump of a point process with stochastic intensity. Two different models are used to estimate the yield spread. They differ in the relationship between the default-free instantaneous interest rate process and the intensity process. The dynamics of the interest rates is modeled through a multidimensional affine model, and the Kalman filter with an Expectation-Maximization algorithm is used to calibrate it. The USD interest rates constitute part of the input of the model, while prices of relevant domestic bonds in the emerging market complete the input. For an application, we select the Uruguayan bond market as the emerging economy.