Heat oven to 200C/180C fan/gas 6. Mix the pudding, mascarpone and Baileys. Lay out a sheet of filo on a large flat baking tray, brush with some melted butter and lay another sheet on top. Repeat with more butter and filo until you have 4 layers.
Place the filling in a log in the centre and brush the border with butter. Roll up to enclose the filling, then brush with the remaining butter. Can be chilled for 1 day until ready to bake. Bake for 20-25 mins until golden brown, dust with icing sugar and serve warm with cream or custard.