The authors consider a dynamic large portfolio model obtained by taking the large infinite-dimensional portfolio limit of multidimensional structural models. The asset values evolve under the risk neutral measure according to diffusion processes with common market wide factor influencing all of the assets (it is modeled by Brownian motion which appears in each stochastic differential equation defining asset value dynamics). The system extends to an infinite system and it is shown that there is a limit empirical measure whose density satisfies an stochastic partial differential equation (SPDE). It is proved that there exists a unique solution to this SPDE in a suitable function space. The loss function of the portfolio is then a function of the evolution of this density at the default boundary. In the last section there are given market pricing examples. The authors analyse model’s ability to price regular index tranches for all maturities and investigate the implied correlation skew.