Preheat the oven to 300°F. Char the peppers over an open flame or on a hot grill until the skins are blistered and blackened in places. Carefully peel off the skin and discard. (Use rubber gloves if the peppers are too hot to handle; you can also put them in a plastic bag for a few minutes after charring, to help make the skins easier to remove.) Carefully remove and discard the stem, central membrane and seeds, taking care to keep the peppers whole.
Heat a little olive oil in a frying pan over medium heat. Add the eggplant and sauté for a few minutes until it starts to brown. Remove from the pan with a slotted spoon, and drain on paper towels. Using the same pan, gently fry the bread cubes until golden, adding a little extra oil if necessary.
Remove the bread to a bowl and carefully mix in the eggplant, olives, capers, garlic, anchovies and parsley to make a stuffing. Season with salt and black pepper. Using a spoon, fill the peppers with the stuffing until they are nice and plump and the stuffing is slightly mounded at the top. Arrange on a baking pan or dish, drizzle with extra olive oil and roast in the preheated oven for 20-25 minutes. Serve hot or cold.