Open Position @ ISI

Job Description: The ISI Foundation ( is seeking to appoint a Senior Data Scientist and a Data Scientist to undertake applied research activities within a recently-funded Innovation Lab on Artificial Intelligence, a mixed initiative between fundamental research performed at ISI Foundation and real-world business-driven challenges posed by Intesa Sanpaolo.
This Turin-based lab is the recently established R&D lab fully founded by Intesa Sanpaolo with the Scientific Advising of ISI Foundation, with the aim of supporting, leveraging and developing disruptive technologies to profoundly innovate the company’s processes and businesses.
The project will investigate application of machine learning techniques to the problem of risk overlay for investment portfolios. Investment portfolios are exposed to potential losses due to market shocks, caused by rare and extreme events. This risk, which goes by the name of “tail risk”, originates from the fact that the profit and loss distribution of a portfolio deviates from the normality condition. Asset managers and traders seek to protect an investment portfolio against tail risk, by building a so-called hedging strategy, based on a suitable selection of market instruments. The project is aimed at investigating and developing innovative machine learning algorithms to identify risk drivers in financial portfolios and to devise actionable strategies to mitigate such risks.
The project will be run in direct contact with professionals of the financial sector (traders, structurers and quants), providing a unique opportunity to approach the reality of financial markets through the leading Italian investment bank. Scientific advising will be provided by a multidisciplinary faculty team including ISI’s Senior Scientists.

We provide a competitive salary according to the qualifications and medical and pension benefits according to the Italian State.  Initial appointment will be for a period of 1 year, with the possibility of renewal.

According to your experience, your responsibilities will involve: Carrying out innovative and business-driven research. Delving into data from different systems, at different timescales, to discover hidden relationships and useful information. Developing and implement data science pipeline aimed at bringing valuable and actionable insights on real-world applications. Producing high quality scientific and technical outputs that might be submitted as journal articles, conference papers, and presentations.

As a Senior Data Scientist you will:
  • Manage and lead the research of the AI/ML Team
  • Define and design the computational experiments to implement the AI/ML pipeline
  • Acquire advanced financial lexicon by working in contact with financial markets practitioners
  • Familiarize with financial instruments, pricing models and simulation engines
  • Devise ML techniques to identify the financial variables that best capture the riskiness of an investment portfolio, with particular focus on tail events
  • Design a data analytics pipeline and identify the most suitable ML techniques to extract the risk drivers
  • Study the profit and loss distribution of investment portfolios and financial derivative instruments
  • Price and simulate financial instruments under different market scenarios
  • Design innovative approaches relying on AI/ML techniques to identify the optimal hedging portfolio
  • Implement prototypes to apply such techniques to real data sets from the financial markets
Core skills you will need: 
  • Ph.D. in Computer Science, Physics, Mathematics, Software Engineer, Engineering
  • Significant (>3 years) applied AI/ML experience and ability to develop/manage data-intensive R&D projects
  • Strong background and solid knowledge in one or more of the following fields: Machine Learning, Reinforcement Learning, Artificial Intelligence, Deep Learning, Data Mining
  • Good programming skills in one or more of the following: Python, C/C++ or Java
  • Strong understanding of the technological processes, complex system architectures, components and requirements
  • Creativity, excellent personal skills and demonstrated ability in leading small research groups
  • Familiarity with financial mathematics will be a plus
  • Familiarity with GPU programming will be a plus
About the Lab:  The lab is organised in small and agile research groups addressing vertical business challenges under the scientific advising of ISI Foundation and will kick off several applied research challenges in the upcoming years, covering strategic domains ranging from risks’ hedging, cybersecurity, fraud detection, micro-targeting, personalized insurance products, and others. We provide a truly international and multidisciplinary research environment with plenty of opportunities for collegial interaction in a highly competitive setting, where unique data-assets from one of the major Italian banks are at the core of data-intensive research to address challenging business-driven problems.

ISI is an equal opportunity employer and does not discriminate on the basis of ethnicity, gender, sexual orientation, age, religion or disability.

To apply, please send your cover letter, curriculum vitae and professional reference list to <>.