In a mixing bowl, whisk the heavy cream until stiff peaks form.
In another bowl, mix the mascarpone cheese, sugar, and vanilla extract until smooth.
Fold the whipped cream into the mascarpone mixture gently.
Combine the brewed coffee and coffee liqueur in a shallow dish.
Dip each ladyfinger into the coffee mixture quickly and layer them in the bottom of the parfait glasses.
Spoon a layer of the mascarpone mixture over the ladyfingers.
Repeat the layers, ending with the mascarpone mixture on top.
Dust the top with cocoa powder.
Chill in the refrigerator for at least 2 hours before serving.