Mix together the cocoa powder and the icing sugar with 50 ml warm water. Stir in the liqueur and the rum.
Arrange half the sponge fingers in glasses and pour half the cocoa-rum mixture on top. Beat the cream and the vanilla sugar until stiff. Fold in the yoghurt and pour half the mixture into the glasses.
Place the remaining sponge fingers on top, drizzle with the remaining cocoa-rum mixture and top with the remaining cream. Serve garnished with grated chocolate.