Put the chopped chocolate in a bowl.

Place the cream and vanilla in a small saucepan and heat until it is just at boiling point. Pour the cream directly into the chopped chocolate.

Gently mix with a whisk until the mixture is smooth. If there are any lumps, place the bowl over a saucepan of barely steaming water, off the heat, and stir lightly for a moment to melt any remaining chocolate.

Mix in the rum and refrigerate the ganache until it is set.

Form the ganache into small balls using a melon baller, or pipe it into small balls using a pastry bag fitted with a plain nozzle. Return to the refrigerator to set.

Roll the balls between your palms to form a perfect ball, then roll in the cocoa, using a fork to roll them around until evenly coated.