Max Payne 3 is set in the slums and high-rolling cities of São Paulo, Brazil. To truly get a feel for the land and its society, Rockstar developers and researchers traveled to the heart of the city to study its law-enforcement branches, its extensive weapons collection and to track down local casting, the Rockstar newswire reads. São Paulo has become infamous for its favelas, gang violence and illegal trafficking, perhaps because it's all set against such a lush, photogenic landscape.
It appears the Rockstar team watched a few documentaries that take advantage of Brazil's dark beauty, as it's able to name-drop such titles as Favela Rising and Bus 174. So, we're sure the devs were completely prepared for the reality of São Paulo's slums.
Update: As many of you pointed out, Favela Rising and Bus 174 are both set in Rio de Janiero, and Brazil is home to many non-violent, wonderful people and places. Rockstar is setting a scene that scare-based media and PBS has been harping on for years, probably because shooting people in an innocent, beautiful environment just doesn't feel right to the developers. Or they wanted a free trip to Brazil.