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We propose a dynamic mean field model for `systemic risk' in large financial systems, which we derive from a system of interacting diffusions on the positive half-line with an absorbing boundary at the origin.
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Carmona, R., Fouque, J.-P., Sun, L.-H.: Mean Field Games and Systemic Risk. Comm. Math. Sci. 13
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Azizpour, S., Giesecke, K., Schwenkler, G.: Exploring the Sources of Default Clustering. J. Finan. Econ., forthcoming (2017). Available at SSRN:1127792
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