We demonstrate a novel technique for cooling a degenerate Fermi gas in a crossed-beam optical dipole trap, where high-energy atoms can be selectively removed from the trap by modulating the stiffness of the trapping potential with anharmonic trapping frequencies. We measure the dependence of the cooling effect on the frequency and amplitude of the parametric modulations. It is found that the large anharmonicity along the axial trapping potential allows to generate a degenerate Fermi gas with anisotropic energy distribution, in which the cloud energy in the axial direction can be reduced to the ground state value.