Each federal department has an Office of Inspector General (OIG). OIG's are essentially the big internal affairs for not just an agency, but the entire cabinet department. As an example, there is no OIG for BLM, but rather the Department of Interior which oversees BLM, Park Service, etc.
OIG's are the office that looks into fraud, theft, crimes occuring between employees, and so on. The bad govt employee stealing money, drugs, firearms from evidence would be investigated by the OIG. Directors stealing money from funds would be investigated by the OIG.