Before revision:  In order to have a general model for systemic (or macroscopic) events, we show that the above system converges to a unique mean field limit , which is characterized by a nonlinear SPDE on the half-line  with a Dirichlet boundary condition  .
After revision:  In order to have a general model for systemic (or macroscopic) events, we show that the above system converges to a unique mean field limit , which is characterized by a nonlinear SPDE on the half-line with a Dirichlet boundary condition ) which governs the conditional law of a 'conditional McKean-Vlasov' type diffusion .