In a medium saucepan, mix the eggnog and cornstarch over medium heat. Whisk the mixture continuously until it thickens slightly and begins to bubble, approximately 5 to 7 minutes. Once it reaches this consistency, remove it from the heat and set aside to cool slightly.
In a separate mixing bowl, whip the chilled heavy cream with the sifted powdered sugar and pure vanilla extract until soft peaks begin to form.
Carefully fold half of the whipped cream into the cooled eggnog mixture.
Begin the layering process in a 9x13-inch baking dish by placing half of the vanilla wafer cookies on the bottom in an even layer.
Layer half of the banana slices evenly over the cookies.
Pour half of the eggnog mixture over the bananas, spreading it gently to create an even layer.
Repeat the layering with the remaining cookies, followed by the rest of the banana slices, and finish with the remaining eggnog mixture.
Top the pudding with the remaining whipped cream, spreading it smoothly over the layers.
For a decorative touch, sprinkle freshly grated nutmeg and ground cinnamon evenly over the whipped cream.
Cover the baking dish tightly with plastic wrap and refrigerate for a minimum of 4 hours, or overnight if possible.
Notes
For an elegant presentation, serve in individual cups or bowls and garnish with nutmeg and banana slices.