Add custom exception to be able to attach request to an attribute

[mgaligniana]

Hello!

This PR applies the Maksim Beliaev's suggest about:

[...] should we consider attaching an attribute to a custom exception?

in ticket #588

I'm not sure if these were the changes expected, let me know any change/test/doc required!

I appreciate any feedback, thank you so much!

[beliaev-maksim]

this PR breaks backwards compatibility. We should not raise own exception but raise instead one that user has provided in the constructor.

[beliaev-maksim]

implemented in #614

[mgaligniana]

this PR breaks backwards compatibility. We should not raise own exception but raise instead one that user has provided in the constructor.

Makes sense! Thank you!

Sorry if I'm late, I was about to update my pr.