In a medium saucepan, whisk together egg yolks and cornstarch. Whisk in sweetened condensed milk and lime zest and juice until smooth. Bring to a boil over medium heat, whisking constantly. Cook, whisking constantly, until thickened and smooth, 1 to 2 minutes. Pour into a heatproof bowl, and cover with plastic wrap, pressing wrap directly onto surface of custard to prevent a skin from forming. Refrigerate until completely cooled.