I like this version better, because it does not have the magic constant "0.005" in it:

create function dbo.RoundToEven(@num numeric(38,19)) returns decimal(19,2)
begin
return case
    when round(@num,...

@GrassHopper's solution does not work for negative numbers, so here's his version that does work for negative numbers:

create function dbo.RoundToEven(@num numeric(38,19)) returns decimal(19,2)
begin
return case
 ...