Using kitchen twine, tie tenderloin crosswise at 2-inch intervals. Sprinkle beef with salt and pepper. Let stand at room temperature for 1 hour.

Heat canola oil in a skillet over medium-high until shimmering. Add tenderloin; cook until browned on all sides, about 10 to 12 minutes. Let cool for 15 minutes.

Brush tenderloin with mustard and sprinkle with porcini powder. Chill in refrigerator for at least 1 hour.

Pulse half of the cremini mushrooms and half of the shallots in a food processor until finely chopped. Repeat with remaining mushrooms and shallots.

Melt butter in a skillet over medium-high. Add cremini-shallot mixture; cook until dry and beginning to brown, about 25 to 30 minutes. Add garlic and thyme; cook until fragrant, about 1 minute. Add sherry and pepper, stirring to scrape up browned bits. Cook until dry, about 2 to 4 minutes. Chill until cold.

Overlap three pieces of plastic wrap to form a square. Overlap phyllo sheets in center. Layer prosciutto on top, spread duxelles, sprinkle with chives and parsley. Lay beef over bottom third and roll into a log. Refrigerate.

Preheat oven to 425°F. Roll puff pastry to a rectangle. Brush top third with beaten egg. Unwrap beef log and lay on bottom edge of puff pastry. Roll up and seal seams.

Transfer to a baking sheet. Brush with beaten egg and score the pastry. Bake until puffed and browned, about 40 to 45 minutes. Let rest for 15 minutes before slicing.