Abstract : Value-at-risk, Conditional Tail Expectation, Conditional Value-at-risk and Conditional Tail Variance are classical risk measures. In statistical terms, the Value-at-risk is the upper α-quantile of the loss distribution where α ∈ (0, 1) is the confidence level. Here, we focus on the properties of these risk measures for extreme losses (where α → 0 is no longer fixed). To assign probabilities to extreme losses we assume that the distribution satisfies a von-Mises condition which allows us to work in the general setting, whether the extreme-value index is positive, negative or zero i.e. for all domains of attraction. We also consider these risk measures in the presence of a covariate. The main goal of this communication is to propose estimators of the above risk measures for all domains of attraction, for extreme losses, and to include a covariate in the estimation. The estimation method thus combines nonparametric kernel methods with extreme-value statistics. The asymptotic distribution of our estimators is established and their finite sam- ple behavior is illustrated on simulated data and on a real data set of daily rainfall.