For our first post-baby vacation, my wife and I decided to rent an apartment in Copenhagen, and for a short while live as the Danish people do. Danes for the most part don't live in hotel rooms, so we started searching for an apartment to rent. My wife wanted to find a place to stay in Norrebro, which is a "melting pot of Danish hipsters and relatively poor foreigners from countries such as Pakistan and Somalia", and accidentally the part of town where she used to live many years ago. 
However, after talking to a Danish friend she changed her mind and wanted instead to rent in the upper-class Osterbro. Turns out a lot of people have been shot dead in Norrebro, and it's getting worse. What? I thought Denmark was one of the safest places on the planet. Has the land of windmills, bicycles and lunch-time drinking disintegrated into chaos and violence? Let's look at some data to get a sense of how dangerous Copenhagen and Denmark in general, really is.
The following diagram illustrates that Copenhagen is on average more dangerous than the rest of Denmark, which perhaps is not surprising given that most cities in Denmark have a population of less than a 100,000 people, and research from the National Bureau of Economic Research showing that "crime rates are much higher in big cities than in either small cities or rural areas".  The research is from 1996 and was done using data from the U.S, so the conclusions drawn do not necessarily apply to Denmark, but let's assume that they do - to some extent at least.
To get a sense of the absolute crime rates of Copenhagen and Denmark, I use NYC's rates from 2011 to 2019. Even though NYC has enjoyed a great decrease in murder rate, it is still a much more dangerous city than Copenhagen. In fact, during 2019, the likelihood of getting murdered in NYC was roughly two and a half times that of Copenhagen, acknowledging the fact that "within cities, the homicides cluster in a few neighborhoods; within neighborhoods, they cluster in a few blocks; and within blocks; many are carried out by a few individuals."  Going from murder rates to the likelihood of getting murdered feels dirty, and I'm sure some of you will want to object. Please do: firstname.lastname@example.org.
Turns out my wife's friend was referring to gang related murders in Norrebro during 2017 when he cautioned against staying there.  Fair enough, but following the dramatic uptick in murder rate, Copenhagen in 2018 was as safe as the rest of Denmark. There is quite a bit of variability in the murder rates of Copenhagen, with data from 2019 showing that there is an increase compared to the peaceful 2018, but it would be foolish to call it a trend.
Based on this admittedly overly simplified analysis of how dangerous it is to stay in Copenhagen, I feel quite confident that we can safely roam the streets of Norrebro, especially given the fact that we need to be back home by 6PM to put the toddler to sleep.
 Financial Times. Danish killing spurs action against gang crime. https://www.ft.com/content/c13c5074-bef9-11e7-b8a3-38a6e068f464
 Bruce Sacerdote Edward L. Glaeser. Why is there more crime in cities? https://www.nber.org/papers/w5430
 Statistics Denmark. Straf11: Reported criminal offences by region and type of offence. https://www.statbank.dk/statbank5a/SelectVarVal/Define.asp?Maintable=STRAF11&PLanguage=1
 Statistics Denmark. Folk1a: Population at the first day of the quarter by region, sex, age and marital status. https://www.statbank.dk/statbank5a/SelectVarVal/Define.asp?Maintable=FOLK1A&PLanguage=1
 The Official Website of the City of New York. Seven major felony offenses. https://www1.nyc.gov/assets/nypd/downloads/excel/analysis_and_planning/historical-crime-data/seven-major-felony-offenses-2000-2019.xls
 Bloomberg. New york city’s population is shrinking: Demographic trends. https://www.bloomberg.com/news/articles/2019-04-18/new-york-city-s-population-is-shrinking-demographic-trends
 Steven Pinker. Enlightenment Now. Viking, 2018