The four euro zone countries, dubbed PIGS by economists, have been engulfed in a debt crisis sparked by fears early last year that Greece's bulging public debt means the country will have to restructure or default on its debt at some point.

More than half of the top 10 riskiest positions by CDS prices – that show the cost of insuring against default – traded in the over-the-counter market are from Europe, according to data released by CMA.

In the fourth quarter of last year Greek CDS widened so much that the country topped Venezuela as the world's riskiest sovereign, while Spain's cost of protection rose by 50 percent, pushing the country into the top 10 most risky, CMA said in a statement.

The top three least risky sovereigns were the Nordic countries of Norway, Finland and Sweden, while the US managed to jump four ranks to the fifth position.

The five best performing sovereigns – countries whose cost of protection against default tightened the most – were Argentina, Latvia, Abu Dhabi, Romania and the US, which was helped by the Federal Reserve's pledge to pump $600 billion more in the economy.

The top five worst performers all came from Western Europe in the fourth quarter, with Belgium topping the list as its CDS widened by 70 percent because of continued worries over its political crisis coupled with high levels of debt.