From Grand Theft Wiki
BAWSAQ stock exchange in Grand Theft Auto IV. The company name comes from the term "loan shark", where an individual or group loans money to an individual at high interest rates and backed by either blackmail or threats of violence should the borrower fail to pay back the loan in a "timely" fashion. The company may be associated with Shark Loans, a company seen advertised in Grand Theft Auto: San Andreas.
You can find the building on Columbus Ave, The Exchange.