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