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In this work we introduce a model of default contagion that combines theapproaches of Eisenberg-Noe interbank networks and dynamic mean fieldinteractions. The proposed contagion mechanism provides an endogenous rule forearly defaults in a network of financial institutions. The main result is todemonstrate a mean field interaction that can be found as the limit of thefinite bank system generated from a finite Eisenberg-Noe style network. In thisway, we connect two previously disparate frameworks for systemic risk, and inturn we provide a bridge for exploiting recent advances in mean field analysiswhen modelling systemic risk. The mean field limit is shown to be well-posedand is identified as a certain conditional McKean-Vlasov type problem thatrespects the original network topology under suitable assumptions.

A Dynamic Default Contagion Model: From Eisenberg-Noe to the Mean Field