Coarse-grained models allow computational investigation of biomolecular processes occurring on long time and length scales, intractable with atomistic simulation. Traditionally, many coarse-grained models rely mostly on pairwise interaction potentials. However, the decimation of degrees of freedom should, in principle, lead to a complex many-body effective interaction potential. In this work, we use experimental data on mutant stability to parametrize coarse-grained models for two proteins with and without many-body terms. We demonstrate that many-body terms are necessary to reproduce quantitatively the effects of point mutations on protein stability, particularly to implicitly take into account the effect of the solvent.