Generalized　Pareto　distribution　(GPD)　has　been　widely　used　to　model　exceedances　over　thresholds.　In　this　article　we　propose　a　new　method　called　weighted　nonlinear　least　squares　(WNLS)　to　estimate　the　parameters　of　the　GPD.　The　WNLS　estimators　always　exist　and　are　simple　to　compute.　Some　asymptotic　results　of　the　proposed　method　are　provided.　The　simulation　results　indicate　that　the　proposed　method　performs　well　compared　to　existing　methods　in　terms　of　mean　squared　error　and　bias.　Its　advantages　are　further　illustrated　through　the　analysis　of　two　real　data　sets.