Using a paring knife split the vanilla bean in half and scrape the seeds. In a medium saucepan, heat the milk, cream and vanilla seeds and pod over low heat until hot but not boiling. In a medium mixing bowl, combine the sugar, egg yolks, salt and cornstarch. Once the milk mixture is hot slowly whisk it into the yolk mixture. Once well combined return the mixture to the saucepan and add the saffron threads. Cook over medium heat while whisking constantly until the mixture has thickened and begins to boil. Continue to whisk as it boils for 4 minutes. Remove from the heat and strain the mixture through a fine mesh sieve into a large mixing bowl. Using a large piece of plastic wrap cover the top of the mixture and sides of the bowl so that there are no air bubbles. Refrigerate for several hours until fully cooled and set. Once cooled remove from the refrigerator and whisk gently to loosen.
Cut up the bananas into small pieces. Heat a medium saucepan over moderate heat and add 1/4 cup sugar in an even layer to the bottom of the pan. Once the sugar begins to caramelize, stir to prevent it from burning and continue to add sugar until it is all added. Once sugar is a deep amber color turn off the heat. Add the butter, salt and cream and stir to combine. Turn the heat back on once the bubbling stops and allow mixture to come to a boil. Allow to cool. Fold the banana pieces into the cooled caramel sauce.
Preheat your oven to 350˚ F. In a medium mixing bowl, mix the butter and sugar until smooth and creamy. Add the egg yolk, salt and vanilla and mix until combined. Add the flour and mix until just combined.
Roll the dough between two sheets of parchment paper until it is 1/4 inch thick.
Chill the dough in the refrigerator for 30 minutes. Remove from the refrigerator and use a round cookie cutter to cut circles slightly smaller than the cup you will use to serve the parfait. Place the cookie dough on a baking sheet lined with parchment paper and bake for 8 to 10 minutes or until light golden brown.
Preheat your oven to 325˚ F. Spread the coconut flakes onto a baking sheet and bake for 10 to 15 minutes or until light golden brown. Stir and rotate if necessary to get an even color.
In a medium mixing bowl, combine the cream and sugar and whisk until stiff peaks form.
To Assemble: Fill each cup one quarter of the way up with vanilla saffron cream. Spoon banana caramel sauce over the cream. Top with a sugar cookie and then a spoonful of whipped cream. Sprinkle with toasted coconut flakes and serve.