Preheat oven to 350°F. Line the bottom of a baking pan with parchment.Combine oil, anchovies, salt and pepper to taste, bread, and parsley in a food processor, and grind into a paste—the texture should remain slightly grainy. Arrange cod fillets on the prepared pan. Spread anchovy mixture on top.
Bake for 10 to 15 minutes, or until fish flakes easily with a fork.