1) Peel the peppers and then seed and chop them.
2) Pit the olives and chop them.
3) In a food processor, place the prepared vegetables with the anchovies.
4) Chop the parsley and add to the ingredients.
5) Puree the ingredients till the mixture is smooth.
6) Add the olive oil and lemon juice. Beat well.
7) Season with salt and pepper to taste. If needed, add more anchovies.
8) Transfer the sauce to a serving bowl and serve at room temperature. The dish can be made in advance and stored in the fridge. Keeps well for up-to a week.