No exchange is 100% safe, there is always a possibility of hacking or fraud with any given exchange, but if we compared to risks, there are also advantages on exchanges like they give many other possibilities for earning or increase our assets on exchanges by simply trading, stop loss alert facilities and others etc. There is no doubt that wallets are more safe than exchanges, but they are very restricted and cannot give us chance to increase our crypto assets. If want to be less risky with exchange, try to not adhere to one or two particular exchange and try to make 5 or 6 or more depending upon self capability to maintain such number of exchanges.