It was a mistake by the researchers, and later a possibly intentional action by the finance people, to use the word 'risk' as it is commonly used today.
As for govt bonds: if one invests in USD nominated portfolio, their zero risk benchmark is still a US govt paper, even when someone stupid says something stupid. German bonds can be your zero risk only if you are invested in EUR instruments.
Do not ask me what if the portfolio is a split of both. Possibly you chose the lower risk as your zero risk, then adjust the other part of your portfolio for the extra CCY (exchange rate) risk. But the last thing is just my guess now.
And in Europe
, should Marie Le Pen win on Sunday, our zero risk may actually fly out thru the roof. She may sound as unlikely as Trump did in his 2016 statement but that's exactly why she stands a chance.
staying in the EUR is actually no good news either. Sort of like fixing up a bad design may be draining your time and energy away from the alternative of building something newer, better.
My takeaway: invest in skills that will sell no matter what. Something people actually need to live on day to day and cannot provide homebrew: food
, bone marrow treatment, etc. You name it. If your skills are indispensable, you never suffer hunger.