Step 1

Fold one end of tenderloin under to make a 10- to 12-inch log. Tie at regular intervals with butcher's twine. Season with salt and pepper. Heat oil in a large skillet over medium-high heat. Cook, turning occasionally, until brown on all sides, 8 to 10 minutes. Cool slightly.

Step 2

Combine horseradish and Dijon in a bowl. Brush over tenderloin, covering all sides. Transfer to a small baking sheet or plate, cover, and chill while making the mushroom mixture.

Step 3

Meanwhile, melt butter in a large skillet over medium-high heat. Add mushrooms and season with salt and pepper. Cook, stirring occasionally, until mushrooms are brown and crispy, 12 to 14 minutes. Stir in shallots and thyme. Cook, stirring occasionally, until shallots are tender, 2 to 3 minutes. Add bourbon and cook, scraping up any brown bits stuck to the bottom of the pan, until nearly evaporated, 2 to 3 minutes. Add cream and cook, stirring occasionally, until thickened, 2 to 3 minutes. Transfer to a bowl and cool to room temperature. Mash up pate and stir into mushroom mixture. Chill at least 30 minutes.

Step 4

Lay out a piece of plastic wrap that is 2 by 1 feet. Place phyllo, short side parallel to you, on plastic wrap and top with prosciutto, overlapping pieces slightly. Spread mushroom mixture in an even layer on prosciutto.

Step 5

Place tenderloin at the bottom edge of the phyllo. Roll it up, using the plastic wrap to help keep it tight. Wrap the entire log in more plastic wrap, if necessary, and chill at least 30 more minutes.

Step 6

On a lightly dusted work surface, roll puff pastry until it is 1 to 2 inches longer than the tenderloin on each side (about 12 to 14 inches long). Remove plastic from tenderloin and lay it at the bottom edge of the pastry. Carefully wrap dough around the log, sealing the end with egg wash. Fold sides in and down and seal with egg wash. Chill at least 30 minutes and up to 2 days.