This paper presents a risk assessment method to measure the Conditional Value at Risk (CVaR) of a transmission expansion project using the Cross-Entropy (CE) method. In the transmission investment, there are various uncertainties such as demand, fuel costs and electricity prices. These uncertain factors can influence the future cash flow of a transmission expansion project and become risk factors for an investor. The CVaR can be used to give an investor an accurate indication of the potential losses for the transmission investment. However, the use of the Crude Monte Carlo (CMC) method in CVaR calculation requires a large computational effort to obtain reliable results. In this paper, the CE method is applied to reduce the computational effort in the CVaR calculation. A numerical example is presented to illustrate the effectiveness of the proposed CE-based CVaR method.