  The goal of this paper is to study organized flocking behavior and systemic
risk in heterogeneous mean-field interacting diffusions. We illustrate in a
number of case studies the effect of heterogeneity in the behavior of systemic
risk in the system, i.e., the risk that several agents default simultaneously
as a result of interconnections. We also investigate the effect of
heterogeneity on the "flocking behavior" of different agents, i.e., when agents
with different dynamics end up following very similar paths and follow closely
the mean behavior of the system. Using Laplace asymptotics, we derive an
asymptotic formula for the tail of the loss distribution as the number of
agents grows to infinity. This characterizes the tail of the loss distribution
and the effect of the heterogeneity of the network on the tail loss
probability.
