Generating Custom Exceptions

Question

My module raises certain exception when something, not necessarily bad, happens. However, when importing the module I am hoping to do something like this to import them all:

from MyModule import MyModuleExceptions

Currently the way I'm generating the exceptions is via this function:

def gen_exceptions():
    EXCEPTION_TYPES = (
        "FirstException",           # scenario 1
        "SecondException",          # scenario 2
        "UnexpectedException"       # Everything else
    )
    MyModuleExceptionsFactory = namedtuple("exceptions", EXCEPTION_TYPES)
    exceptions = {key: type(key, (Exception,), {}) for key in EXCEPTION_TYPES}

    return MyModuleExceptionsFactory(**exceptions)

MyModuleExceptions = gen_exceptions()

and in my module I can use it as:

try:
    # do stuff
except MyModuleExceptions.FirstException:
    # Handle scenario 1
except Exception:
    # Everything else

Is the correct way "Pythonic" way of doing it? Or is there a well-established practice that I should follow?