Put the peppers under the grill and grill them all over. As soon as all the skin is charred, take the pepper from the heat, otherwise the flesh will begin to burn and we will be left with paper-thin peppers.
Let the peppers cool and then remove the skin. Cut the pepoers in half, remove the stalk and seeds and then cut them lengthways into strips. Put them on a dish.
Pound the anchovies with the garlic, parsley and chili in a mortar or chop very finely. Put the oil and the anchovy mixture in a heavy pan and heat very slowly for 2 minutes, stirring and pounding the whole time until the mixture is mashed. Spoon over the peppers and leave to marinate for at least 2 hours.