If you don't know what your private keys are, you don't have control over them. When you open an account on a centralized exchange, they create a wallet for you and maintain the private keys. Examples of centralized exchanges include Coinbase, Bitfinex, Binance, Poloniex, and Bittrex.
bZx replaces the third party who would normally hold lenders' and traders' keys with a smart contract. The smart contract doesn't need to hold lenders' and traders' keys.