Aarhus University is the first Danish Masters in Finance that I have found. The website looks nice and the information is easy to fine. The program allows you to specialize in Bank Management, Pension Economy, Fixed Income and Empirical Finance. The year long program also includes a thesis upon completion.
For more information contact the admissions faculty. They should be able to provide placement stats and what firms recruit on campus.
Here is a link to the Aarhus University Master in Finance program