Step 1 In a large pot heated over high heat, add the vegetable oil and shrimp shells. Saute until the shells turn pink, 1 to 2 minutes.
Step 2 Stir in the onion, celery and carrot and continue to saute, stirring frequently, for 1 to 2 minutes. Stir in the bay leaf, peppercorns, thyme and tomato paste and continue to saute until the herbs are aromatic and the vegetables are somewhat softened, 3 to 5 minutes.
Step 3Remove the pan from heat momentarily and stir in one cup of wine, scraping any flavoring from the base of the pan. Cook, stirring frequently, until the wine evaporates, 6 to 8 minutes. Do the same with the second cup of wine. Add the water and simmer for 10 minutes, then set aside to cool before straining.
Step 4Discard the solids and refrigerate until needed. This makes a generous quart stock, more than is needed for the remainder of the recipe; the stock will keep, covered and refrigerated, up to one week.