Finding out the source of an exception in C++ after it is caught?

I'm looking for an answer in MS VC++.

When debugging a large C++ application, which unfortunately has a very extensive usage of C++ exceptions. Sometimes I catch an exception a little later than I actually want.

Example in pseudo code:

FunctionB()
{
    ...
    throw e;
    ...
}

FunctionA()
{
    ...
    FunctionB()
    ...
}

try
{
    Function A()
}
catch(e)
{
    (<--- breakpoint)
    ...
}

I can catch the exception with a breakpoint when debugging. But I can't trace back if the exception occurred in FunctionA() or FunctionB(), or some other function. (Assuming extensive exception use and a huge version of the above example).

One solution to my problem is to determine and save the call stack in the exception constructor (i.e. before it is caught). But this would require me to derive all exceptions from this base exception class. It would also require a lot of code, and perhaps slow down my program.

Is there an easier way that requires less work? Without having to change my large code base?

Are there better solutions to this problem in other languages?