We study cold denaturation of proteins at high pressures. Using multicanonical Monte Carlo simulations of a model protein in a water bath, we investigate the effect of water density fluctuations on protein stability. We find that above the pressure where water freezes to the dense ice phase (≈ 2 kbar), the mechanism for cold denaturation with decreasing temperature is the loss of local low-density water structure. We find our results in agreement with data of bovine pancreatic ribonuclease A.Some proteins become thermodynamically unstable at low temperatures, a phenomenon called cold denaturation [1,2,3]. This phenomenon has been mainly observed at high pressures, ranging from approximately 200 MPa up to 700 MPa [4]. An explanation of the P − T phase diagram of a protein with cold denaturation has been proposed [5], but a microscopic understanding of the mechanisms leading to cold denaturation has yet to be developed, due in part to the complexity of proteinsolvent interactions.Existing theories of folding and unfolding of diluted proteins consider hydrophobicity as the driving force of protein stability [6,7,8,9,10]. In the case of apolar macromolecules, hydrophobicity has been identified with the assembly and segregation of the macromolecule to minimize the disruption of hydrogen bonds among water molecules [6,10,11]. Water tends to be removed from the surface of apolar molecules, forming a cage composed of highly organized water molecules around the molecule, where the disruption of hydrogen bonds is minimized [12]. The simplest hydrophobic model features an effective attraction between hydrophobic molecules [13], but does not reproduce cold denaturation. In order to obtain cold denaturation with this model, new studies [14,15] had to insert a temperature-dependent attraction derived from experimental observations at ambient pressure [16]. An explicit account of water around the hydrophobic molecules has also been considered in order to understand the cold denaturation process with temperatureindependent interactions. Theoretical attempts modeled the effective water-protein interactions with the free energy cost of excluding the solvent around the nonpolar molecule [11,17]. Numerical simulations based on these attempts have been applied to study the pressure denaturation found in proteins [9].Not until recently has cold denaturation been studied at the microscopic level. Simplified models [18], based on a bimodal description of the energy of water in the shell around the hydrophobic molecule [19], predicted cold denaturation. Similar results were obtained using a lattice model of a random hydrophobic-hydrophilic heteropolymer interacting with the solvent [20]. Several models mimicking the interaction between water molecules and non-polar monomers have also been applied to the study of cold denaturation. [21]. One possible reason for the inability of the previous models to capture both the molecular details of cold denaturation and the effect of pressure is the neglect of (i) correlations among water molecules...