It just appears to apply VaR to failure rates, which is hardly a 'wall street secret'.
The authors also completely misunderstand how VaR works - it is the minimum value at risk, not the maximum.
Value at Risk (VaR) [33] captures precisely these bounds.
Given a probability threshold β (say β = 0.99), VaRβ provides a probabilistic upper bound on the loss: the loss is less than VaRβ with probability β
It is actually a probabilistic lower bound on the loss.
The authors also completely misunderstand how VaR works - it is the minimum value at risk, not the maximum.
Value at Risk (VaR) [33] captures precisely these bounds. Given a probability threshold β (say β = 0.99), VaRβ provides a probabilistic upper bound on the loss: the loss is less than VaRβ with probability β
It is actually a probabilistic lower bound on the loss.