Mix together the egg yolks and sugar in a bowl on top of a pan of boiling water. Reduce heat to low, and cook for about 10 minutes, stirring constantly. Remove from the heat and whip yolks until thick and lemon-colored.
Add Mascarpone to the the bowl and beat until well combined.
In a fresh bowl, whip the cream into stiff peaks
Gently fold the whipped cream into egg, sugar and mascarpone mixture and set aside.
Mix the cold brew with the coffee liqueur and dip the lady fingers into the mixture just long enough to get them wet, do not soak them!
Arrange the lady fingers in the bottom of a 9 inch baking dish
Spoon in half the mascarpone cream filling over the lady fingers.
Repeat process with another layer of lady fingers and cream.