问一道题：NO.PZ2016082406000009

Suppose Bank Z lends EUR 1 million to X and EUR 5 million to Y. Over the next year, the PD for X is 0.2 and for Y is 0.3. The PD of joint default is 0.1. The loss given default is 40% for X and 60% for Y. What is the expected loss of default in one year for the bank?

选项：

EUR 0.72 million

EUR 0.98 million

EUR 0.46 million

EUR 0.64 million

解释：

ANSWER: B

The joint PD does not matter for the ECL. This is $ECL=1\times20\%\times40\%+5\times30\%\times60\%=0.08+0.90=0.98$, or EUR 0.98 million.

请问joint PD为啥不考虑呀？什么时候需要考虑joint PD呢？