Preheat oven to 350°. Cut out a wide circle around stem of pumpkin to make a lid. Lift lid; scrape off any seeds and set aside. Scoop out seeds and strings from inside pumpkin.
Place pumpkin in a roasting pan, rub with butter. Sprinkle inside with ground fennel seeds and a little cayenne. Season lightly with salt and pepper. Add a handful of crumbled Yarg, breadcrumbs, garlic, and bay leaves. Pour in vegetable stock to come within 3″ of the pumpkin’s rim. Cover with lid.
Roast pumpkin for 1 hour. Remove lid; put lid flesh side up on pan alongside pumpkin and return to oven. Continue to roast until pumpkin flesh is soft when pierced with a knife (take care not to puncture skin), 30-90 minutes more (depending on size of pumpkin).
Discard bay leaves. Season soup to taste with salt and pepper. To serve, gently scoop a big spoonful of flesh from sides or bottom of pumpkin into each bowl and ladle stock over. Garnish with parsley.