Lehman Brothers Holdings Inc. (NYSE: LEH) Chief Executive Richard Fuld continues to keep his job even though shares of the New York-bank have slumped more than 60% this year. Meanwhile, American International Group Inc. (NYSE: AIG), whose shares are down 42%, ousted CEO Martin Sullivan because of the continued poor performance of the world's largest insurer.

Why didn't Fuld follow Sullivan onto the unemployment line, albeit the cushy one for failed CEOs? It makes no sense.

Last week, Fuld shocked investors by pre-announcing that Lehman lost $2.8 billion, or $5.14 per share, results that were officially confirmed today. In the earnings release, Fuld proclaimed the results as "unacceptable" and vowed to "take the necessary steps to restore the credibility of our great franchise." Well, at least he says that's what he wants to do. He dismissed Lehman President Joseph Gregory and Chief Financial Officer Erin Callan last week. On the conference call, Fuld even took responsibility for the loss and investors cheered this act of contrition, sending shares of Lehman up.

The euphoria is not going to last. I am not sure why Wall Street believes that Fuld can extricate Lehman from the financial quagmire that occurred on his watch. They certainly did not give Merrill Lynch & Co.'s (NYSE: MER) Stan O'Neal and Bear Stearns & Co.'s (NYSE: BSC) James Cayne or Citigroup Inc.'s (NYSE: C) the benefit of the doubt.

Lehman's board, which awarded Fuld a total pay package of more than $33 million in 2007, does not seem in any rush to hold Fuld's feet to the fire. If Fule is terminated without cause following a change in control. he would reap $275 million from the value of equity awards that would be subject to immediate vesting, according to the company's proxy statement.

For its part AIG's vow to clean house seems more credible. Robert WIllumstad, the new CEO, told investors that "nothing is off the table" as part of the turnaround plan of the world's largest insurer. He is even reaching out to ''AIG's largest shareholder the cantankerous former CEO Hank Greenberg. In an interview with Bloomberg News, Willumstad said "I've set a goal in the next 90 days to dig into the businesses, all of the businesses, not just the non-insurance businesses, to make sure our capital is being employed in the right areas. If there are businesses that are hampered in terms of their growth, or strategically we're not as competitive in some areas, we'll take a hard look."

Of course, both companies face huge hurdles and investors should avoid both stocks for now. It just seems, though, that AIG gets it and Lehman does not.