Four bone-in lamb leg steaks, cut 1/2 inch thick (6 to 7 ounces each)
Heat 1 tablespoon of the olive oil in a large skillet. Add the shallots and cook over high heat, stirring, until just softened, about 1 minute; transfer to a small bowl. Stir in 3 tablespoons of the olive oil and the parsley, anchovies, coriander seeds and rosemary. Season the shallot relish with salt and pepper.
In the same skillet, heat the remaining 1 tablespoon of olive oil. Season the lamb steaks with salt and pepper. When the oil is almost smoking, add the lamb steaks and cook over high heat until well browned on the bottom, about 3 minutes. Turn the steaks and cook just until the lamb is medium rare, about 1 minute longer. Transfer the lamb steaks to a platter, top with the shallot relish and serve.