Hi Steve.

I am an SSRS newbie. Thanks for your response here is what I tried thus far in parameters > Default Value> exp>
="[Date].[Date].&[" & YEAR(DateAdd("m",-1,NOW()))*100
+MONTH(DateAdd("m",-1,NOW())) & "]"
But issue is aggregations such as max doesnt work here. Im trrying to do it in MDX ....as per below, so still no luck...my ultimate objective is what ever dates as in "MMM-YY" format , default parameter to select latest or max date/lastdate. 

WITH MEMBER [Measures].[Caption]
    AS VBA!Format
  (
  Cdate([Date].[Date].CurrentMember.Name)
  ,"MMM-yy"
  )
MEMBER [Measures].[Key]
    AS [Date].[Date].CurrentMember.UNIQUE_NAME
//MEMBER [Measures].[SortMe]AS [Date].[Date].CurrentMember.UNIQUE_KEY

MEMBER [Measures].[Risk] AS [Measures].[Total Risks]

MEMBER [MaxDate] as Max([Measures].[Caption])

SELECT NON EMPTY {[Measures].[Caption], [Measures].[Key],[Measures].[Risk],[Measures].[MaxDate]
//, [Measures].[SortMe]
} ON 0

, {[Date].[Year Month].[Year Month]
* [Date].[Date].[Date] } ON 1

FROM [Model]
WHERE ([Date].[DayofMonth].&[1])