Step 1To make turkey stock, in a medium saucepan, heat the oil over medium-high heat. Add the turkey neck and saute the pieces until golden, about 2 to 3 minutes.
Step 2Take the pan off the heat and add the wine. Scrape the brown bits from the bottom of the pan and place the pan back over the heat. Cook until the wine is almost all cooked off and absorbed, about a minute.
Step 3Add the chicken broth and bring to a boil. Reduce heat to maintain a gentle simmer; cook 30 to 40 minutes or until the stock is reduced by half.
Step 4Skim the fat from the surface of the stock and remove the neck pieces. Strain the stock; set aside.
Step 5Pour the drippings from the turkey roasting pan into a fat separator, leaving about 1 tablespoon in the roasting pan. Separate out the fat from the rest of the drippings and discard, reserving the de-fatted drippings. Heat the roasting pan over medium-high heat. Add the shallots to the pan and sweat for about 3 minutes until softened. Stir in the thyme sprigs and cook just until aromatic, about 1 minute.
Step 6Remove the pan from heat and add the Cognac. Use a long match (and stand back) to ignite the Cognac; let it burn until the alcohol is cooked off, watching carefully as the flames may flare up, about a minute (if it does not go out after a minute, place a lid over the pan to extinguish the flame).
Step 7Bring the pan back over medium-high heat and cook, stirring with a wooden spoon to loosen all the browned bits from the bottom of the pan. Reduce by about 80%, until it coats the back of a spoon. Add the reserved turkey stock and stir to combine.
Step 8Immediately remove the pan from the heat and strain the sauce into a medium saucepan. Bring the sauce to a simmer over medium-high heat and cook until reduced to 1 cup, several minutes. Add the reserved pan drippings, stirring to combine. Cook, stirring occasionally, until the sauce is thickened slightly and is reduced to 1 cup.
Step 9Remove the pan from heat and add the butter, swirling the pan gently to melt the butter. Taste and season if necessary with salt. Serve immediately.