In a mixing bowl, whip the cream, sugar, and vanilla until soft peaks.
Add the mascarpone cheese and amaretto/rum and whisk together until well combined and fluffy.
Pour the cold coffee into a shallow dish and dip the Ladyfinger biscuits before placing them in a serving dish.
Once you have created a layer of dipped Ladyfingers, add a layer of the cream mixture.
Repeat the biscuit and cream layers 1 - 2 times, ending on a cream layer.
Cover and refrigerate for at least 2 hours, and dust with lots of cocoa powder before serving.