Risk is a given in any investment. It is incorporated into valuation in the cost of equity and debt which flows into the discount rate. A risk premium is added on international projects. This page looks at why this may NOT be a good idea.
The argument for NOT using a country risk premium is the assumption that the typical investor is well diversified globally. Since the risk that is added to the discount rate is only the non-diversifiable risk, there is no need to add a country risk premium when you are diversified globally. However, this holds only if the country’s stocks are not highly correlated with other countries. If the country’s stocks are highly correlated that the investor will not be able to diversify and we cannot argue for NOT using a country risk premium.