Place the bananas, egg yolks, sugar, cornstarch, vanilla and milk into a blender and blitz until smooth.
Transfer mixture to a saucepan and cook over medium heat until thick, stirring constantly for about 8-10 minutes. You'll want to see it bubble and then reduce heat a bit. Ensure that your mixture is thickening up during this process. If not, you may need to add a little bit more cornstarch (like you would if making gravy).
Pour mixture into a heat safe bowl, cover and chill for at least 4 hours (best if chilled overnight).
To serve, scoop a few spoonfuls of crumbled cookies into a serving glass. Add pudding, whipped cream, and a sprinkle of crumbled cookies on top. You're done!
