To my mind, the UPST is a kind of umbrella safeguard statement to ensure they have cited every conceivable risk there is, short of the sky falling down, to protect them against litigation. If you read any company’s 10-K, there is always an endless litany of that sort of caveats.
The past two years of Covid pandemic have been unprecedented and as such much harder to model and predict than interest rate fluctuations (for which we have hundreds of years of history to compare to after all). They apparently had no problems dealing with that, so I am much less concerned about their model’s ability to deal with plain normal macroeconomic changes.
But I think we all agree that a 40% allocation is too high for any single position, no matter which or when.