Peer 2 Peer Lending?

On the Prosper site, they talk about how they build the default risk into the interest rates.

For example:

Say the highest rated borrowers (rated 'AA' on Prosper) default on their loans, on average, about 7% of the time. The interest rate they borrow at will be set at 15%, so that a lender can expect an 8% return on average.

Say the lowest rated borrowers (rated 'HR' on Prosper for High Risk) default on their loans, on average, about 20% of the time. The interest rate they borrow at will be set at 32%, so that a lender can expect a 12% return on average.

These numbers are made up to explain the concept, but are not far off from the actual numbers. Because the default rate is built into the interest rates, I feel that the risk is mitigated somewhat. The debt is unsecured, meaning you lose your investment if the borrower defaults. To me this is no less risky than playing the stock market agressively.