Data warehouses are systems that provide useful information to support the decision making process, thus improving organizations' business processes. These systems integrate heterogeneous sources which are not only limited to their internal business data but also include data from the Web, the latter of which have become increasingly more important in the decision making process in recent years. This has motivated the extensive use of XML in the implementation of data warehouses, in a manner which facilitates data and metadata interchange among the heterogeneous data sources from the Web and the data warehouse. However, the business information that data warehouses manage is crucial and highly sensitive, and must be carefully protected. Security is thus a key issue in the design of data warehouses, regardless of the implementation technology used. It is important to note that the data available on the Web requires particular security considerations which have been specifically tailored to these systems in order to permit their particularities to be captured correctly. Unfortunately, although security issues have been considered in the development of traditional data warehouses, current research lacks approaches with which to consider security when the target platform is based on XML technology.In order to deal with this situation, in this paper we propose a methodological approach for the model driven development of secure XML data warehouses. We also specify a set of transformation rules that are able to automatically generate not only the corresponding XML structure of the data warehouse from secure conceptual data warehouse models, but also the security rules specified within the data warehouse XML structure, thus allowing both aspects to be implemented simultaneously. We additionally introduce our secure XML DW development approach, in which the secure conceptual DW data model, the PIM, is transformed into a secure XML DW, as a PSM, by applying a set of transformation rules. Our proposal is validated through the practical application of our model driven development approach for Modeling Secure XML Data Warehouses to a case study, which is based on a central Airport DW. We first describe the transformation rules defined, then use a step by step illustration to show how they will be applied to the secure conceptual model of the case study to obtain the Secure XML Data Warehouse, thus demonstrating the benefits of our proposal, and finally we analyze how to achieve the secure implementation into commercial database management systems, providing details of the secure implementation in Oracle XML DB 11g.