It is important that you can't compare lending bitcoins, normally, since bitcoins are the best collateral. Lending will always lead to additional risk but in lightning it appears to be measurable while in other cases it is subject to third-party evaluations or collateral asset depreciation against bitcoins.  

 off the top of my head, in LN you should also account for hardware failure, 0days, fee spikes which will destroy in-flight htlc resolution in broken channels, all of these not very predictable. 

 There are many technical ways to loose bitcoins. All of them are different to custodial and third party risks. You could say that one may use unreliable random nber generator and leak keys without any LN.