Before revision:  We illustrate this , applying such robust methods for parameter estimation of a GPD - including some recently developed methods - to data from Algorithmics Inc.
After revision:  In this paper, optimally-robust procedures MBRE, OMSE, RMXE are introduced to the application domain of operational risk. We apply these procedures to parameter estimation of a GPD - including some recently developed methods - to data from Algorithmics Inc.