Originally Posted by SK AAR

No, I have only done pure CA flights (not in combination with SK or other carriers). If on 1 ticket I would be very surprised (and disappointed) if CA was unable to check bags to final destination even if last segment is operated by other carrier, e.g. SK.

My word of caution was based on the practice of most airlines refusing to short check bags. Indeed, it may be that the OP will be able to find a CA check-in agent that agree to short check the bag to CPH but advising the OP that this in general will be accepted by CA check-in staff is in my opinion wrong and the OP may easily be disappointed on the day of traveling when the check-in staff refuse to tag the bag to CPH and insist to check it to OSL. (obviously, if really needed the OP will nevertheless be able to pick-up the bag at CPH when he/she doesn't board the CPH-OSL flight and the bag will be offloaded consequently, but it is much more complicated and presumably also time consuming).