Mix the cornstarch and egg yolks with a little milk until smooth. Bring the milk with the milk chocolate to the boil. Add the cornstarch to the boiling milk while stirring, season with sugar and vanilla sugar. Refrigerate.
Whip the cream until stiff and fold in the rum. Chop the walnuts and cut the bananas into slices. Get the cream out of the fridge. Alternately fill the cream, bananas and nuts in dessert bowls, decorate with the cream.