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We introduce a new measure called Inflation-at-Risk (I@ R) associated with (left and right) inflation tail risk. We estimate I@ R using survey-based density forecasts. We show that it contains information not covered by usual inflation risk indicators which focus on inflation uncertainty and do not distinguish between the risks of low or high future inflation outcomes. We document that, not only the extent, but also the asymmetry of inflation/deflation risks evolve over time. Moreover, changes in inflation risk, help predict future inflation realizations. In particular, we show that adding our survey based measures of inflation risk to either the random walk model, or usual survey based mean point forecasts, improves their predictive performance.