Before revision:  In order to have a general model for systemic (or macroscopic) events, we show that the system converges to a unique mean field limit characterized by a nonlinear SPDE on the half-line ( with a Dirichlet boundary condition ) which governs the conditional law of a 'conditionalMcKean-Vlasov' type diffusion . Depending on the realizations of the common noise and the strength of the mean reversion, the SPDE can exhibit rapid accelerations in the loss of mass at the boundary.
After revision:  In order to have a general model for systemic (or macroscopic) events, we show that the system converges to a unique mean field limit characterized by a nonlinear SPDE on the half-line ( with a Dirichlet boundary condition ) which governs the conditional law of a non-standard `conditional' McKean--Vlasov diffusion, for which we provide a novel upper Dirichlet heat kernel type estimate that is essential to the proofs . Depending on the realizations of the common noise and the strength of the mean reversion, the SPDE can exhibit rapid accelerations in the loss of mass at the boundary.