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Make the shrimp stock (You can do this two days ahead): Heat 2 Tbsp. oil in a large saucepan over medium-high. Add shrimp heads and shells and cook, stirring occasionally, until shells are bright red, 5–8 minutes. Stir in tomato paste and stir around in the pot for about a minute, until it starts to brown and stick a little to the bottom.
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Add 1/3 cup wine and cook, scraping up brown bits, until almost completely evaporated, about 3 minutes. Add carrot, celery, thyme sprigs, peppercorns, 2 onion halves, all but 4 garlic cloves, star anise, and 8 cups water. Toss in a generous pinch of salt and bring to a boil over medium-high.
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Reduce heat and simmer until stock is reduced by one-quarter and very fragrant, about an hour. Strain through a fine-mesh sieve and discard the solids. Keep warm over low heat.
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Make the risotto: Heat remaining 2 Tbsp. oil in a large Dutch oven or other heavy pot over medium heat. Add chopped onion and garlic and cook, stirring often, until onion is translucent and softened, about 5 minutes.
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Add rice and cook, stirring often, until grains are almost entirely translucent and starting to stick to bottom of pot, about 3 minutes. Stir in remaining 1/3 cup wine and cook, stirring, until wine is almost completely evaporated. Add ouzo and cook, stirring, until evaporated, about 45 seconds.
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Ladle in about 1 cup warm stock and cook, stirring, until liquid is absorbed. Repeat process, adding more stock as each addition is absorbed, until rice is tender but not mushy, 25–30 minutes
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Season risotto with salt and pepper and stir in shrimp. Cook, stirring, until shrimp are cooked through, about 3 minutes. Remove from heat and finely grate in lemon zest. Add butter and feta. Stir gently to incorporate.
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Spoon risotto onto warmed plates sprinkle with chives. Garnish with lemon wedges and serve.