To understand that, you have to know about Ragnarok. Ragnarok is the apocalyptic, world-ending battle that burns the Nine Realms to ash by consuming all living things. This fiery plague of fell flames was started by a spell, written by a traitorous goddess, which was enacted by an enemy of Asgard, Surtur.
To stop the end of the Nine Realms, a spell was given to the Valkyrie that would take a portion of the magick of the gods and give it to mortal children. Thus were born the Favoured, as they were then called upon to protect the Nine Realms while the rest of the magick of the gods was taken to renew all life.