Preheat the oven to 400 degrees F.
Pat the tenderloin dry with paper towels and sprinkle all sides with a generous amount of salt and pepper – you should see the seasoning on the meat. Place a large skillet or roasting pan over medium-high flame, drizzle with the oil, and just when it begins to smoke lay the tenderloin in the hot pan. Brown on all sides until a crust forms and the meat is well-seared, about 7 minutes total. Toss the fresh thyme and rosemary on top of the tenderloin and transfer the whole thing to the oven; roast for 20 to 25 minutes for medium-rare.
Remove the tenderloin to a cutting board to rest for 10 minutes before carving. Pour off the excess fat from the pan and put it back on the stove over medium-high heat. Add the shallots to the pan drippings, saute, stirring with a spoon to scrape up the flavors in the bottom. Take the pan off the heat and pour in the cognac (premeasure - never pour directly from the bottle!) Put the pan back on the heat and tilt it slightly over the burner to ignite the alcohol, or light with a kitchen lighter. The cognac will flame for a few seconds then go out as the alcohol burns off. Stir in the demi-glace and cream, simmer for about 1 minute to thicken the sauce so it coats a spoon. Finish the sauce by stirring in the mustard and peppercorns until incorporated. Taste and season with salt, if necessary.
To serve: pile the watercress on a serving platter, cut the tenderloin into 1/2-inch thick slices and arrange it on top of the greens. Drizzle the sauce over the beef and garnish with chopped parsley. Serve the steak au poivre with pommes frites.