Mix mascarpone cheese, sugar, and egg yolks well.
Make syrup by adding sugar and rum to espresso coffee.
Lightly soak ladyfingers in the coffee syrup.
Lay the soaked ladyfingers at the bottom of a mold.
Spread the cheese cream evenly over the ladyfingers.
Repeat layering ladyfingers and cheese cream.
Evenly sprinkle cocoa powder on top of the last layer of cheese cream.
Refrigerate for 2-3 hours until set and chilled.