Combine the egg yolks and sugar in a heat proof bowl. Place over a saucepan of simmering water. Whisk, constantly, for 5 minutes, or until pale and silky.
Fold in the mascarpone. Set aside.
In a large bowl or stand mixer, whip the heavy cream until soft peaks form. Gently fold into mascarpone mixture.
In a shallow bowl or dish, combine the espresso, sugar, vanilla, and liquor. Dip half the lady fingers in the coffee. and place in a single layer in an 8x8 inch pan. Spread half the cream mixture on top. Dip the remaining lady fingers in espresso, placing in a single layer. Top with remaining cream.
Cover, and refrigerate at least 4 hours (overnight is better).
Dust with cocoa powder, and top with chocolate shavings.
