Combine saffron and broth in a small saucepan; bring to a simmer (do not boil). Keep warm over low heat.
Melt butter in a large saucepan over medium-high heat. Add shallots, prosciutto, and garlic to pan; sauté 2 minutes or until shallots are tender. Add rice; cook 1 minute, stirring constantly. Stir in wine; cook 2 minutes or until liquid is nearly absorbed, stirring constantly.
Add broth mixture, 1/2 cup at a time, stirring constantly until each portion of broth is absorbed before adding the next (about 25 minutes total). Remove from heat; stir in cheese and pepper. Serve immediately.