Good article with a lot of good info in it. However, I think that the rate the market is willing to lend/borrow funds at is somewhat supply/demand driven (due to market inefficiency??) and not purely risk to default driven. But I might wrong on this one and I'm still thinking about the article. I need sleep :-)
There is probably some inefficiency, Bitcoin prices are not equal on all exchanges either. But at the same time, Bitcoin prices are also not extremely far off. That happened at Mt.Gox when it was no longer possible to retrieve USD from the exchange. In the case of Bitfinex money is not facing such a barrier, so it would still not be too hard to take advantage of extremely inflated rates. And even if you would cut probabilities in half, you would still be left with some significant numbers.
The numbers might sound more intuitive if you put them in perspective. Around 25-45% is normally associated with a C credit rating (depending on the agency and exact rating). C reflects substantial risks and should be considered extremely speculative. Such a rating wouldn't be odd for a Bitcoin-startup registered on the BVI, not releasing any frequent financial reports and not audited by a professional and independent agency (or regulator).