A striking signature of the non-Hermitian physics in open systems is the existence of exceptional points (EPs) in parameter space. In contrast to a conventional degeneracy, an EP involves not only the coalescence of the eigenvalues but simultaneously that of the corresponding eigenstates as well. Here, we study EPs in optical microdisk cavities with a concentrically layered refractive index profile. For the double-layered cavity we show the existence of an EP with two coalescing modes. For a triple-layered cavity we verify and discuss the emergence of an EP involving three coalescing modes in a single microdisk cavity.