Changing Date Format In MDX

MDX allows use VB Script Functions.
So, for converting date format we can make use of these function as shown in query below.

Example 1

WITH MEMBER [Measures].[ParameterCaption] AS
IIF(ISDATE([Date].[Calendar].CURRENTMEMBER.MEMBER_CAPTION)
    ,VBA!Format
        (
          Cdate([Date].[Calendar].CURRENTMEMBER.MEMBER_CAPTION)
         ,"MMMM yyyy"
        )
    ,[Date].[Calendar].CURRENTMEMBER.MEMBER_CAPTION)
MEMBER [Measures].[ParameterValue] AS
    [Date].[Calendar].CURRENTMEMBER.UNIQUENAME
MEMBER [Measures].[ParameterLevel] AS
    [Date].[Calendar].CURRENTMEMBER.LEVEL.ORDINAL
SELECT {[Measures].[ParameterCaption]
        , [Measures].[ParameterValue]
        , [Measures].[ParameterLevel]} ON COLUMNS
        , [Date].[Calendar].ALLMEMBERS ON ROWS
FROM [Adventure Works]

Link for more VB Script Functions
http://www.w3schools.com/vbscript/vbscript_ref_functions.asp