I'm short since 16k

Yeah basically it only works while it's internal to an exchange, they possess both the collateral and the loaned funds the entire time.

Once you let go of either of these things you carry the full risk.

Which is why it's bullshit that the exchange still charge 33% p.a when they have no risk.

most of that 33% is YOUR profit margin though, it doesn't go to the exchange.
Just like when you buy 100k you don't give money to the exchange