You could also grill these peppers over a gas or charcoal grill.
After washing the peppers, cut them in quarters discarding the seeds and the pulp. Lay the pieces, rounded side up on a roasting pan and broil until quite black. Place the pieces of pepper in a brown paper bag for 5 minutes to steam the edges, then remove the blackened skin. Cut the peppers into strips about half an inch wide and lay in a serving dish.
Mix together the olive oil, anchovies, garlic, and parsley with salt and pepper. Spoon this over the peppers. Serve at room temperature with crusty country bread.