Blockchains and DeFi have consistently shown to attract financial speculators. One avenue to increase the potential upside (and risks) of financial speculation is leverage trading, in which a trader borrows assets to participate in the financial market. While well-known overcollateralized loans, such as MakerDAO, only enable leverage multipliers of 1.67×, new under-collateralized lending platforms, such as Alpha Homora (AH), unlock leverage multipliers of up to 8× and attracted over 1.2B USD of locked value at the time of writing. In this paper, we are the first to formalize a model for under-collateralized DeFi lending platforms. We analytically exposit and empirically evaluate the three main risks of a leverage-engaging borrower: (i) impermanent loss (IL) inherent to Automated Market Makers (AMMs), (ii) arbitrage loss in AMMs, and (iii) collateral liquidation. Based on our analytical and empirical results of AH over a timeframe of 9 months, we find that a borrower may mitigate the IL through a high leverage multiplier (e.g., more than 4×) and a margin trading before supplying borrowed assets into AMMs. We interestingly find that the arbitrage and liquidation losses are proportional to the leverage multiplier. In addition, we find that 72.35% of the leverage taking borrowers suffer from a negative APY, when ignoring the governance token incentivization in AH. Finally, when assuming a maximum ±10% move among two stablecoins, we pave the way for more extreme on-chain leverage multipliers of up to 91.9× by providing appropriate system settings.