AI Capability Engineer

Copenhagen, Denmark

About the job

Are you interested in helping shape and strengthen AI capabilities within a global financial organisation?

As an AI Capability Engineer, you will work with Saxo’s Engagement Brain — an AI driven engine for personalised, scalable client engagement. You will turn data and AI into tangible tools that our Relationship Managers and Client Service teams will rely on. In this role, you will make an impact and contribute to one of Saxo’s most significant client-facing transformations.

This position is located at Saxo’s Headquarters in Hellerup and is within the Client Experience team. This role reports directly to the Executive Director of Client Experience.

As an AI Capability Engineer, you will collaborate with Relationship Managers, Client Service Leads, and Journey Owners, to translate user feedback into product improvements. Saxo's central Data Platform team will support you on performance, governance, and shared infrastructure. You will own your capabilities and how they land in the business.

The ambition is for you to progressively deliver the wider engagement brain: from Relationship Manager tools today, Client Service tools next, to AI-driven engagement reaching clients across every Saxo channel. You will not just build the next capability; you will also help shape the pattern that Saxo’s client-facing AI grows from.

Responsibilities

• Own the rollout and implementation of the first AI sales-tech capability from pilot to a hardened, centrally run product for all Saxo Relationship Managers
• Build upon the same foundation to deliver additional AI capabilities for Relationship Managers, Client Service, Journey Owners, and eventually clients directly
• Design and maintain the data foundation, owning the curated data model and semantic layer that AI capabilities read from
• Operate AI capabilities in production with a focus on cost, quality, and dependability across all users and clients
• Convert user feedback into lasting system improvements, embedding expert judgement into repeatable system rules
• Ensure all output remains defensible by working with Commercial Finance, Risk, Compliance, and Legal, staying on the right side of Saxo’s execution-only advice line
• Stay closely connected with users to maintain fast, high-quality feedback loops as the team and scope grow

Your profile

You have solid experience working with AI and data and understand how they can support business success. You have strong communication skills and can clearly explain technical information to commercial colleagues. You care about grounded, dependable AI products over flashy demos.

• 7-10 years of experience, with a minimum of 3 years’ experience within AI/ML applied to production business systems
• Experience building and running data pipelines, automation, and AI capabilities to production standard
• Experience with Python and modern data platforms (dbt, Snowflake, Databricks or equivalent)
• Business and data fluency in trading or comparable financial services
• Financial data literacy — portfolios, positions, transactions, KYC, market data
• Prompt engineering at production scale — versioning, evaluation, output filtering (not experimentation)
• Data privacy engineering with AI-specific considerations (GDPR)
• Observability for AI systems — drift detection, cost monitoring, evaluation pipelines

Soft Skills:

• Direct communication – You can explain what you built, what it does, and what its limits are to various stakeholders without overselling the solution.
• Comfortable working with ambiguity
• Curious about the business
• Judgment on when to ship vs. iterate
• Ability to work with a variety of stakeholders, including CxO, Risk, and Compliance leaders, and to communicate challenges in their language
• Willingness to challenge stakeholders when needed

It will be an advantage if you have:

• Prior experience with LLM applications in a regulated environment
• Experience with agent frameworks (MCP, tool-use, retrieval-augmented generation)

Please note that due to the summer holiday period, responses will not be sent during July. Interviews are expected to be held in August.

We get curious people invested in the world
 

When you work at Saxo, you become a Saxonian and part of a purpose-driven organisation, where good ideas are always taken seriously, and where you can make a true impact. We are invested in your development, and you can expect a robust career from day one when you join Saxo – no matter which role you take on.
 

You will join 2,500 other ambitious colleagues across 11 countries and become part of an international organisation. Working in Saxo, you will get to meet colleagues from many different cultures and backgrounds, and you should know that we value diversity and inclusion and see it as a genuine source of strength to drive growth, foster innovation and position us for long-term success. 
 
We encourage an open feedback culture and supportive team environments enabling employees to grow and fulfil their career aspirations.  

When you bring passion, curiosity, drive and team spirit, your learning journey will be dynamic and your career opportunities in Saxo will be immense.
At Saxo we don’t just offer a job – we offer an opportunity to invest in your future!  

How to apply :
Click here to create an account and upload your resume and a short motivation. We look forward to getting to know you better!