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Changing Account Password
Options for changing your account password differ with protocol you are using with your server. Most servers actually do not allow changing password using file transfer protocols used by WinSCP. In such case, you will need to use some alternative method.
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FTP protocol
FTP protocol does not provide a method for changing an account password either.
Though various FTP servers support proprietary commands that can be used to change the password.
Some servers, such as Titan FTP server, support SITE PSWD command:
SITE PSWD "<old_password>" "<new_password>"
Other servers, such as WS_FTP Server, support SITE CPWD command:
CPWD <new_password>
Yet another variant is:
SITE CPWD <new_password>
You can execute any of these commands from Console window.
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WebDAV and S3 protocols
WebDAV and S3 protocols do not provide a method for changing an account password/secret access key.
Alternative methods
If you have a terminal (SSH) access to your server, change your password in the terminal session.
If you do not have a terminal access, your server administrator (e.g. webhosting providers) will have another method for changing a password (typically via their web site).