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Whisk egg yolks and sugar in a heatproof bowl. Set over a pot of gently simmering water (double boiler) and whisk constantly for 8 to 10 minutes until the mixture is thick, pale, and reaches 160 degrees F. Remove from heat and let cool for 5 minutes.
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In a separate bowl, beat mascarpone until smooth. Fold the cooled egg yolk mixture into the mascarpone.
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Whip the heavy cream and vanilla to stiff peaks. Gently fold the whipped cream into the mascarpone mixture.
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Combine the cooled espresso and coffee liqueur in a shallow dish. Quickly dip each ladyfinger — one second per side. Do not over-soak.
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Arrange a single layer of dipped ladyfingers in the bottom of a 9x9 dish or similar. Spread half the mascarpone cream over the top.
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Add a second layer of dipped ladyfingers and spread the remaining cream on top. Smooth evenly.
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Cover with plastic wrap and refrigerate for at least 6 hours, or preferably overnight.
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Before serving, dust generously with cocoa powder through a fine-mesh sieve.