Most of the requirements engineering (RE) approaches for data warehouse (DW) do not distinguish the early and late RE phase unlike recent RE approaches for transactional systems. They captured information requirement instead of decision requirement which is the main focus of this article. In this paper we present a novel RE approach for DW consisting of three phases namely; (i) early RE (ii) late RE, and (iii) conceptual design. The early RE phase captures 'whys' that underlies decision requirements and the late RE phase captures 'what' the DW system should do. The conceptual design evolves through the early and late requirements. All the models produced (early requirements model, late requirements model and multi dimensional conceptual model) are interlinked, thus, support traceability among each other. Finally, the proposed approach has been demonstrated by a case study of a typical Indian public sector bank and supported by a CASE tool.