Prepare the coffee syrup: mix the hot coffee with the liqueur, pour into a large dish and let cool.
Make the filling: Place the egg yolks and sugar in a large heatproof bowl and place it over a saucepan of
simmering water (bain-marie). Make sure the bottom of the bowl does not touch the water. Whisk constantly until the sugar dissolves and the cream thickens. The temperature of the egg yolks should reach 68-70ºC.
This step is optional (read the notes). Remove the bowl from the heat and let cool.
Add the mascarpone, vanilla extract and whisk until smooth.
In a separate bowl, whip the cold heavy cream until stiff peaks form. Fold 1/3 of the whipped cream into the mascarpone mixture. Then fold in the remaining whipped cream. Set aside.
Assemble: Dip each sponge finger into the coffee mixture for 1 to 2 seconds. Place them in the bottom of a 9×13-inch baking dish. If necessary, break a few of the cookies to fit into the dish.
Spread half of the cream over the dipped cookies. Repeat with another layer of cookies and spread the remaining cream on top. Cover and refrigerate the tiramisu for at least 6 hours.
Just before serving, sprinkle with cocoa powder.
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