Senior Data Security Engineer

HQ Copenhagen, Denmark

Join Saxo’s Enterprise Identity & Data Security (EIDS) team and play a pivotal role in protecting the bank’s most valuable asset it’s data.

About The Role

In this role, you will design and implement advanced data protection controls across modern security platforms, with a strong focus on Microsoft Purview and insider risk solutions. You will translate complex regulatory and data risk requirements into scalable, effective technical controls that safeguard sensitive information and strengthen Saxo’s security posture.

This is a unique opportunity to contribute to Saxo’s broader agenda around security, governance, and operational resilience within a highly regulated financial environment, working closely with stakeholders across technology, compliance, and the business.

Your Responsibilities

• Design and implement data protection controls across Microsoft Purview (DLP, Information Protection, Insider Risk Management)
• Translate data security risks and regulatory requirements into robust, enforceable technical solutions
• Lead and support the rollout and optimisation of Insider Risk Management and user activity monitoring tools (e.g. Teramind)
• Drive data discovery, classification, and visibility across structured and unstructured data environments
• Monitor, tune, and continuously improve the effectiveness of data protection policies and controls
• Collaborate with security, compliance, and business stakeholders to mitigate data risks and strengthen governance frameworks

Your profile

• 7–10 years of experience in data security or information security engineering
• Hands‑on expertise with Microsoft Purview (DLP, labelling, Insider Risk)
• Strong understanding of data protection risks, insider threats, and mitigation strategies
• Experience working in regulated environments (financial services is an advantage)
• Solid knowledge of Microsoft 365, Azure, and enterprise security tooling
• Experience with automation or scripting (e.g. PowerShell, APIs) is a plus
• Relevant certifications such as SC-400 are preferred