The mechanisms of cold and pressure denaturation of proteins are matter of debate and are commonly understood as due to water-mediated interactions. Here, we study several cases of proteins, with or without a unique native state, with or without hydrophilic residues, by means of a coarse-grain protein model in explicit solvent. We show, using Monte Carlo simulations, that taking into account how water at the protein interface changes its hydrogen bond properties and its density fluctuations is enough to predict protein stability regions with elliptic shapes in the temperature-pressure plane, consistent with previous theories. Our results clearly identify the different mechanisms with which water participates to denaturation and open the perspective to develop advanced computational design tools for protein engineering.