We construct statistical measures of UK macroeconomic risks, building quantile-regression density forecasts for inflation and GDP growth. These estimates account for the UK’s position as a small-open economy and capture time variation in tail risks, in addition to changes in central forecasts. To highlight how they can provide valuable signals about the balance of risks, we use a battery of tests to compare our predictive distributions to those captured in the Bank of England’s fan charts. While not flawless, the fan charts appear to perform reasonably well across the evaluation metrics considered; our model provides an advantage on specific margins such as a sharper risk profile at comparable calibration, and, for GDP growth, greater accuracy at short horizons and in the left tail. These advantages position our model as a useful complement to a broader suite for quantifying macroeconomic risks in the UK, with regular evaluation of density forecasts necessary to ensure that the toolkit remains fit for purpose as the constellation of shocks hitting the UK economy evolves.