是handbook上的，06年真题也出现过类似的：
EXAMPLE 18.8: FRM EXAM 2000—QUESTION 51
A portfolio consists of two (long) assets £100 million each. The probability
of default over the next year is 10% for the first asset, 20% for the second
asset, and the joint probability of default is 3%. Estimate the expected loss
on this portfolio due to credit defaults over the next year, assuming 40%
recovery rate for both assets.
a. £18 million
b. £22 million
c. £30 million
d. None of the above

书上的计算过程如下：a) The three loss events are
(i) Default by the first alone, with probability 0.10 − 0.03 = 0.07
(ii) Default by the second, with probability 0.20 − 0.03 = 0.17
(iii) Default by both, with probability 0.03
The respective losses are £100×(1 − 0.4) × 0.07 = 4.2, £100×(1 − 0.4) ×
0.17 = 10.2, £200×(1 − 0.4) × 0.03 = 3.6, for a total expected loss of £18
million

我不解的是，其实2个ASSET是有相关性的，为什么不先算出违约相关系数，然后计算预期损失呢？
我的计算是先求出违约相关系数，然后计算三种违约事件的概率，进而得出预期损失，但是我算不出答案。