The aim of this paper is to study the asymptotic behavior of a particular multivariate risk measure, the Covariate-Conditional-Tail-Expectation (CCTE), based on a multivariate statistical depth function. Depth functions have become increasingly powerful tools in nonparametric inference for multivariate data, as they measure a degree of centrality of a point with respect to a distribution. A multivariate risks scenario is then represented by a depth-based lower level set of the risk factors, meaning that we consider a non-compact setting. More precisely, given a multivariate depth function D associated to a fixed probability measure, we are interested in the lower level set based on D. First, we present a plug-in approach in order to estimate the depth-based level set. In a second part, we provide a consistent estimator of our CCTE for a general depth function with a rate of convergence, and we consider the particular case of the Mahalanobis depth. A simulation study complements the performances of our estimator.