Make caramel sauce first.
Heat sugar until it turns golden brown.
Add butter and mix well.
Pour cream slowly while mixing.
Add vanilla and let cool.
Make cheese mixture.
Beat egg yolks with sugar.
Add mascarpone and mix smooth.
Whip cream in another bowl.
Mix whipped cream with cheese mixture.
Put together the layers.
Dip cookies quickly in coffee.
Put cookies in dish bottom.
Spread half cheese mixture on top.
Pour half caramel sauce over it.
Do this again with remaining ingredients.
Chill overnight.
Cover with plastic wrap.
Put in fridge for 4 hours.
Dust with cocoa before serving.