At 12V and line frequency, the rule of thumb is something like 2mF per ampere. So I'd suggest 100mF (= 100,000uF = 0.1F) rated 16 or 25V. It will probably be a "computer grade" type, costing around $40, if you're shopping for new parts.
Don't use one of those "boost cap" (0.5F +) things, they're gimmicks, they're not rated for this much ripple, and they don't do much even in the best of cases.
Obviously, you need a big rectifier. A single part is better. Diodes don't play well together, in parallel. At this current, you will need a heatsink, too.
#8 AWG wire is good enough for wiring.
MOTs are only good for about 500VA. They get very hot at higher power levels. Heck, they get hot enough just sitting there, without any load at all. The rectifier spends about half that, so don't expect to use an amplifier over 250W or so.
BTW, did you remove the magnetic shunts? You want to knock those out, otherwise your output voltage will sag a lot.
You'll need several MOTs, and a 240V 15A or larger mains circuit, to run a full 2kW of amplifiers. You're better off just getting a mains powered amplifier.
Tim