At the end of some movies, there is a song to be played. Is there any word to call these songs?
As an example "My Heart Will Go On" from Celine Dion at the of Titanic.
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I think the industry phrase, seen on CD covers and whatnot, is Ending Credits Theme or Closing Titles Theme.
"Exit Music (For a Film)" is the title of a song by Radiohead that was written for the closing credits of the 1996 film William Shakespeare's Romeo and Juliet. In turn, Exit Music was adopted by Ian Rankin as the title of his last book in the Inspector Rebus series.
So while I'd probably go with @ghoppe's answer for the official industry phrase, the (in my opinion) quite elegant "exit music" does have some cultural currency as well as being descriptive.
I was told that "Outro song" is sometimes used. Oxford Dictionaries has this entry for "outro":
outro NOUN (plural outros) informal The concluding section of a piece of music or a radio or television program: 'the intros, outros, and bridges of various segments'
This definition could easily be extended to apply to music played at the end of a movie.
Nowadays: I am producing and composing since over 25 years. In the editing cutting phase, we call it outro. For puplishing reasons it's called credit-theme or closing theme.