Preheat oven to 425 degrees F.
Arrange 1 phyllo sheet on a work surface with a short side of phyllo nearest you, keeping remaining sheets covered, and brush with some butter. Top phyllo with 3 more sheets of phyllo, brushing each with butter. Arrange bananas 1 above the other, horizontally, on lower third of phyllo, leaving a 1-inch border on both sides (trim bananas if too long). Sprinkle chocolate over bananas, then fold sides of phyllo toward middle (over ends of bananas). Fold bottom edge of phyllo over bananas and roll up bananas in phyllo.
Transfer strudel, seam side down, to a baking sheet lined with parchment paper or to a buttered baking sheet, then brush strudel with beaten egg. Cut 4 (1/2-inch-long) steam vents diagonally along top of strudel with a sharp knife. Bake in middle of oven until golden, about 12 to 15 minutes. Cool slightly on a rack, then dust with confectioners' sugar.
Recipe courtesy of Gourmet Magazine