People often say exchange are risky because one does not have access to his private keys and other secrets stuff.
My Question is why are this keys safe? What if the wallet I have my Bitcoin in dissappears or goes out of business what will I do with the keys??
Exchanges doesn't have a feature of giving bitcoin private keys to their users, meaning all coins of all users that is stored in that exchanges are not totally controlled the user itself. Once this exchanges shut down, all bitcoins will be taken away. That's why storing coins to them is risky.
If your bitcoin was stored outside web exchanges and you hold your private keys, then you are in control of your coins to that address. Actually this is a basic bitcoin knowledge and by answers you received here I think you have some idea right now. You can read alot more via Google search.