In a large mixing bowl, pour in very cold heavy cream. Whip the cream on medium-high speed until stiff peaks form, about 3–5 minutes.

In another bowl, combine the egg yolks with powdered sugar. Whisk together until the mixture is pale and creamy, about 2 minutes.

Fold room-temperature mascarpone cheese into the egg yolk mixture until smooth.

Fold the whipped cream into the mascarpone mixture until no streaks remain.

In a shallow bowl, mix together hot coffee, rum extract, and eggnog. Let it cool slightly.

Dip each gingerbread cookie quickly into the coffee mixture and layer them in a 9x9 inch baking dish.

Spread a layer of the mascarpone filling over the first layer of dipped cookies.

Dust the top with cocoa powder and crushed gingerbread cookies, then cover and refrigerate for at least 1.5 hours.