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Suppose Bank Z lends 1 million to X and 5 million to Y. The probability of default in the first year for X is 0.2

Suppose Bank Z lends 1 million to X and 5 million to Y. The probability of default in the first year for X is 0.2 and for Y is 0.3. The probability of joint default (both X and Y default) in 1 year is 0.1. The loss given default (LGD) is 40% for X and 60% for Y. What is the expected loss of default in 1 year for the bank?

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