The highest order risk for us has always been kidnapping. Where we live (in Houston), the news is filled with cases of children being kidnapped every day. It's sad, but kidnapping and human trafficking are a huge issue, particularly in our region.
Just a few years back, there was that case of the 13 year old girl in the US who was kidnapped and killed while walking home from a friends house, which got caught on a security camera. There are many, many similar stories that never make the national headlines.
We never let our 15yo boy go anywhere by himself until last year. He couldn't bike or walk to school by himself nor could he walk two streets down to his friends house. He begged and pleaded, and argued that we didn't trust him, but we stood firm and told him that it wasn't a matter of trust, but rather a matter of safety. The only reason we let him start walking and going places by himself (but usually with a friend at that) is because he is physically huge (6'5" and over 200 lbs). This significantly reduced the likelihood element of the risk for us.
We have many children on our street in our neighborhood. The kids come and go to each others houses. The ages range from toddlers to 10 year olds. We have a general rule that nobody let's their own kids or anyone else's kids walk to and from each others' houses unescorted, even if its only 1-2 houses down. There is no point in taking a risk.
We wouldn't consider letting any of our four younger children walk or bike anywhere by themselves until they are 14-16 years old. And even then, we will likely have rules that they have to always stick together or with a friend.
Its a little more work on our part to have to take the time out to escort the kids, but then we never have to worry about them.