To assemble the baklava layers, you need a 23 cm (9") springform cake tin.
Preheat the oven to 180° C (350° F).
Combine the clarified butter and vegetable oil in a bowl to use for buttering the filo layers.
Lightly butter the bottom and the sides of your cake tin with a pastry brush.
Place one of your filo sheets, letting the pastry hang over the edges of the pan. My filo sheets were extra large so I had to trim the ⅓ of the filo and use it as a second layer.
Brush generously the filo sheet with melted butter mixture using a pastry brush and then place another filo sheet on top.
Keep layering until you used half of the filo sheets, making sure to butter generously each layer.
Sprinkle your chopped walnuts evenly on top and continue layering the rest of the filo sheets. Make sure to butter each layer generously. Pour any remaining butter mixture over the top to finish.
Carefully trim the overhanging filo sheets using a small knife or scissors.
Pour the cream cheese filling over the filo crust.
Place the cake tin in the preheated oven and bake it for 55 to 60 minutes, until the cheesecake is set and the filo pastry is golden and crispy. Do not open the oven door during baking your Baklava Cheesecake.
Switch off the oven and leave the cake in for 10 minutes with the oven door slightly open to avoid any cracks on your cheesecake.
Remove the pan from the oven and let it cool down for 5 minutes. Your syrup should be at room temperature at that stage.
Slowly drizzle the syrup over the golden baked filo sheets using a spoon. Try and aim the filo sheets and take your time while pouring the syrup. The main focus should be moistening the crispy filo sheets.
Let the Baklava Cheesecake cool down to room temperature and let it refrigerate overnight, ideally for 24 hours before serving.