Heat the oven to 200 degrees C. Cut the capsicums in half, remove the seeds and brush with oil. Roast on a baking tray for 40 minutes or until tender. Let cool a bit, peel and cut into thick strips.
Oil an ovenproof dish and spread the capsicum strips over the base. Sprinkle over garlic, parsley, olives and capers and lay haloumi over the top. Season with salt and pepper and drizzle with a little more olive oil. Bake 12 minutes or until the cheese just starts to melt.