* Lehman bankruptcy protection sparks risk aversion

* Yen rallies broadly

* Dollar has biggest one-day loss vs yen in 9 years (Recasts, adds details, updates prices)

By Nick Olivari

NEW YORK, Sept 15 (Reuters) - The U.S. dollar fell against the euro on Monday amid increased risk aversion after Lehman Brothers Holdings Inc LEH.N filed for bankruptcy protection, spurring a stock market sell-off, and had its biggest one-day loss against the yen in nine years.

The dollar had managed to hold gains against the euro for most of the New York session, but as Wall Street benchmark indexes extended losses in late trading, the U.S. currency fell in their wake.

Investor attention is now focused on American International Group (AIG.N: Quote, Profile, Research), once the world's largest insurer, for clues as to whether there are other companies that may need to raise capital to cover mortgage-related losses.

Treasury Secretary Henry Paulson said on Monday the U.S. financial system remained sound despite current stresses and he was prepared to take further actions if necessary to maintain stability. For details, see [ID:nN15280825].

"So far, the efforts of the U.S. government have failed to bring any stability to the financial markets," said Kathy Lien, director of currency research at Global Forex Trading.