Prepare a double boiler. Whisk the egg yolks and sugar over the double boiler until lightened and fluffy and the mixture reaches 140 degrees F.
Transfer to a mixer bowl. Whip on medium-high with the whisk attachment until cooled and lightened in color, 4 to 5 minutes. Whip in the mascarpone. Add the liqueur, vanilla and salt, mixing until smooth. Add the heavy cream on low speed and blend. Scrape the bowl and whisk and then whip on medium speed until medium peaks form. Chill until ready to use.