The White House Correspondents’ dinner now has new competition for most riotous event of the year for journalists. United Nations Secretary-General Ban Ki-moon showed his comedy chops in a video of him doing his best “Rocky” impersonation during the UN Correspondents Association Dinner Wednesday at Cipriani 42. “No one has ever seen him make a joke,” an attendee told us. “In the video he is in sweatpants, running around the UN and hitting a punching bag to the theme song for ‘Rocky.’ In another part, the narrator says in James Bond fashion, ‘We have lost two BMWs in the UN garage, someone will have to pay for this.’ ” Thankfully, Ban didn’t repeat the “Gangnam Style” dance routine he tried out when fellow South Korean Psy visited the UN in October. Journalists were honored throughout the evening as well as — somewhat inexplicably since he’s spent some of the past year explaining his parenting skills — by Arnold Schwarzenegger. After giving a speech, the former California governor’s obvious dark brown dye job became a punch line with the night’s host, CNN’s Richard Roth, who joked, “Arnold, good luck with that haircut.” But Roth’s biggest crack of the night was a riff about making a porn movie called “Deep Concern.”