Set beef out at room temperature 1 hour prior to cooking. Heat oven to 300°F (148°C). Line a rimmed baking pan with a roasting rack.
Heat a large cast iron or stainless pan over medium-high heat. Rub tenderloin with two teaspoons (10 milliliters) of canola oil and season with salt and pepper. Sear beef on all sides until well browned, about five to seven minutes total. Remove tenderloin from pan and reduce heat to medium.
Add butter and shallot to cast iron pan and cook until softened, about two to three minutes. Add garlic and cook for two minutes. Add wine and cook down until mostly evaporated. Stir in horseradish, parsley and rosemary. Season with salt and pepper. Transfer to a small bowl to cool slightly.
Lay out two pieces of prosciutto on a large cutting board so two short ends overlap by 2.5 centimeters to create a 38 centimeter strip. Lay two more strips down overlapping long edge by 1/2 centimeters. Repeat with remaining strips to create a 38x25 centimeter surface. Spread shallot mixture on prosciutto to within one centimeter of edges. Place tenderloin on top and roll the tenderloin in prosciutto, tucking edges under to seal. Transfer it onto the rack-lined pan. Nestle rosemary sprigs around roast and drizzle with canola oil. Season with pepper.
Roast in oven until the internal temperature reaches 130°F (55°C), about 50 to 60 minutes. Cover with aluminum foil and rest for 20 minutes before serving.