Um? Let me use an example to explain what is happening here:
Me - Cryptocurrency markets are not mature that is why we have lot of arbitrage opportunity between exchanges.
You - Why do you think they're mature and perfect enough to worry about arbitrage opportunities?
So, let me repeat again - It is exactly because they are not mature there are issues. If they are mature, there is nothing to worry. And that is the sauce you are looking for.
You're claiming they are efficiently pricing in a particular risk, pushing up prices to reflect the counterparty risk, but then denying they are efficient enough to price in the other consequences they should be. This is not consistent or at least is very stretched.
Me - Cryptocurrency markets are not mature that is why we have lot of arbitrage opportunity between exchanges.
You - Why do you think they're mature and perfect enough to worry about arbitrage opportunities?
So, let me repeat again - It is exactly because they are not mature there are issues. If they are mature, there is nothing to worry. And that is the sauce you are looking for.