Is it possible to exchange a damaged iPhone 15 Pro Max?

Standard Apple warranty doesn't cover accidental damage however AppleCare Plus Protection plan does

Get an estimate for your screen replacement> Choose Your Country or Region

ref: Choose Your Country or Region - Apple Support

iPhone Repair and Service - Apple Support

iPhone Repair & Service - Apple Support

Check Device Coverage

Check Your Service and Support Coverage - Apple Support

There is any chance to exchange damaged iphone 15pro max?

No, unless Apple Service determines that repairs are not feasible. In that case, you will receive a refurbished replacement phone.