Remove tenderloin from refrigerator and let stand at room temperature for 1 hour before roasting. Using a sharp, flexible knife, trim the "silver" membrane from the surface of the tenderloin and tuck "tail" underneath to create a tenderloin of even thickness. Tie with kitchen twine. (Or, ask your butcher to prepare your tenderloin for roasting.)
Rub the tied tenderloin with about 2 tablespoons of olive oil. Sprinkle each side liberally with kosher salt and cracked black pepper, pressing to adhere.
Preheat oven to 475 degrees F with rack in middle position.
Place a large stove-top safe roasting pan over high heat and add about 2 tablespoons olive oil to coat the bottom of the pan, heating until hot but not smoking. Sear the tenderloin for about 3-4 minutes per side, until well-browned. Remove tenderloin from roasting pan and carefully clean pan with a paper towel in a pair of tongs.
Place a roasting rack in the pan and set seared tenderloin on rack. Roast until desired internal temperature is reached in the thickest part of the meat, 125 degrees F for medium rare, about 20-25 minutes. Remove from oven, transfer tenderloin to a cutting board, tent with foil, and let rest for 10-15 minutes.
MAKE THE COGNAC CREAM SAUCE AND SERVE
Remove the roasting rack from the pan and place the pan on the stove over medium heat. Add butter and chopped shallots and sauté until shallots are soft and lightly-browned. Remove the pan from heat, carefully pour in 1/2 cup cognac, and scrape up the brown bits from the bottom of the pan. Return to heat and let simmer for 1-2 minutes.
Whisk in heavy cream and Dijon mustard. Gently simmer until sauce is thick enough to coat the back of a spoon, about 5 minutes. Whisk in Parmigiano Reggiano until melted and smooth. Turn off the heat and add remaining 1-1/2 teaspoons cognac and chopped thyme leaves. Season sauce to taste with salt and pepper.
Carefully remove the twine from the tenderloin and cut meat into 1/2-inch slices. Drizzle with Cognac Cream Sauce at the table.
Roasting times can vary by oven and by the thickness of your particular cut of meat. The 5-pound tenderloin photographed in this post had about a 3-1/2 inch diameter and reached “medium-rare” temperature after roasting for 20 minutes.