In credit risk modeling, PD (Probability of Default), LGD (Loss Given Default), and EAD (Exposure At Default) are core components. Can you elaborate on the key challenges in developing, validating, and practically applying models for PD, LGD, and EAD? Additionally, discuss how these components interact and are linked, specifically how they work together when calculating Expected Credit Loss (ECL).

在信贷风险建模中，PD（违约概率）、LGD（违约损失率）和EAD（违约风险暴露）是核心组成部分。请你详细阐述这三个模型在开发、验证和实际应用中面临的关键挑战，并讨论它们之间是如何相互影响和联动的，特别是在计算预期信用损失（ECL）时如何协同工作。