Citi analyst Joshua Shanker wrote in a research report investors are worried about AIG's investment portfolio. These concerns intensified on Wednesday, when Merrill Lynch & Co. stunned the market by disclosing $7.9 billion in credit costs, far steeper than the bank estimated less than three weeks earlier.

As a sprawling financial services company, AIG's exposure to bad mortgage credit is tough to assess, Shanker said. AIG reported subprime exposure of $29 billion through investments and commitments to finance or guarantee debt repayments as of midyear.

Shanker said he believes AIG's exposure is similar to XL Capital Ltd.'s, which lost $160.2 million on investments during the third quarter. He also suggested a comparison to Ambac Financial Group Inc., which lost money in the third quarter because of a $743 million loss on its investment portfolio.

Shanker said his most realistic guess for AIG's loss from mortgage credit in the quarter is $1.6 billion.

Shares of AIG lost $2.05, or 3.2 percent, to close at $61.79 Thursday. The stock has traded in a range of $60 and $72.97 in the past year.