Sports Minister Fikile Mbalula was expected to announce the name of the judge who would head the committee on Friday.
The Mail & Guardian Online reported that it would be Nicholson, the judge who dismissed corruption charges against President Jacob Zuma in the Pietermaritzburg High Court in 2008.
Department spokesperson, Paena Galane, told Sapa on Friday morning he could not confirm the appointment, but said Nicholson was one of the nominees.
"There is a process. The judge who will be chosen must sign a contract," he said.
"The judge that was mentioned [Nicholson] was one of the nominations. What I know is that we have a list of judges, and in terms of finality, one will be announced today [Friday]."
Last month, Mbalula said he would appoint a committee to investigate a report submitted by auditing firm KPMG on the financial affairs of CSA.
The audit recommended that CSA's remuneration and travel allowance policy be reviewed after it found a reported non-disclosure of bonus payments to CSA employees.
This was contrary to the requirements of the Companies Act.
On Wednesday Galane said the decision on who the judge would be was not one Mbalula could make alone.
"That process is an inter-departmental one... judges are under the department of justice and constitutional development. That's the responsibility of [Minister] Jeff Radebe himself," said Galane.
Mbalula has said that he wanted the investigation wrapped up by Christmas.