It would be convenient if one could assume independence of the two main agencies: default and churn.
Although this is likely to be assumed in the interests of keeping things simple, it is unfortunately a doubtful assumption. There may well be a correlation against the bank’s interests in the form of better credit risks finding it easier (then poor credit risks) to re-finance elsewhere on favourable terms. Then, higher churn (earlier closure) may be correlated with lower PD. Full modelling of such a situation would require the joint modelling of default and churn.
Churn is not a ‘risk’ in the Basel meaning(s) but is referred to as such in this post in the sense that it is an uncertain event with unfavourable financial consequence for the bank: opportunity loss