1. Line a sieve or colander with cheesecloth and set over a bowl, leaving at least 1/2 inch clearance from the bottom. Spoon in yogurt. Cover with plastic wrap and let drain in the refrigerator for at least 1 1/2 hours.
2. About 20 minutes before serving, position rack in top third of oven; preheat to 425°F. Coat a baking sheet with cooking spray.
3. Place bananas, cut sides up, on the baking sheet. Sprinkle with brown sugar, cinnamon and rum (or lemon juice). Dot with butter. Roast in the oven for 5 minutes. Turn on the broiler; broil until the bananas are golden and the sugar is bubbly, about 2 minutes.
4. Meanwhile, beat cream, cocoa and confectioners' sugar in a large bowl with an electric mixer, scraping down the sides of the bowl once or twice, until soft peaks form. Push the cream to one side; add the drained yogurt and fold into the cream with a rubber spatula until blended. Drizzle the roasted bananas with any juices accumulated in the pan and serve with a dollop of the chocolate cream.