Combine the rice and water in a medium saucepan and bring to a boil over high heat. Reduce the heat to low, cover, and simmer for 20 minutes, or until all the water is absorbed. Let stand for 10 minutes before serving.
Meanwhile, in a small food processor or blender, make a paste with the anchovies and their oil, garlic, green chiles, and salt. (Note: you can slo make the paste by hand with a knife mincing all ingredients until a paste is formed) Set aside.
In a large sauté pan, heat the olive oil over medium heat. Add the shallots and sauté until soft, about 5 minutes. Add the anchovy-garlic paste, reduce the heat to medium-low, and cook for 1 minute. Add the white wine and let simmer for 2–3 minutes. Add the cream, chopped red chiles, saffron, and pepper and adjust the seasoning to taste. Stir in the parsley.
Serve the cod and sauce with the rice. Garnish with sliced red chile.