Vex is a member of the Thieves Guild and can be found in The Ragged Flagon located within The Ratway in Riften. She is also a Master trainer of lockpicking. She gives the quests The Shill Job, The Heist Job, The Sweep Job and The Burglary Job.
She is a lookout whose job is to “watch Delvin’s back.” Therefore she does not sleep. After you listen to rumors and gossip from multiple NPCs in Winterhold, Vex will reveal to you the location of Isabelle Rolaine’s whereabouts.