In a casserole set over moderate heat, cook the Prosciutto in the oil and butter, stirring occasionally, for 3 minutes. Add the rabbit, season with salt and pepper and cook it until browned on both sides. Add the bay leaf, rosemary, parsley and stock. Bring the liquid to a boil and simmer the rabbit, covered, for 45 minutes, or until just tender.
In a small skillet heat the 1/4 cup of oil over moderate heat until hot. Add the garlic and cook it, stirring, until golden. Add the anchovy and cook it, stirring, until dissolved. Add the vinegar and reduce it over moderately high heat to 2 tablespoons.
Add the sliced peppers and anchovy mixture to the casserole and simmer it, stirring occasionally, 15 minutes longer.