The Parthians were known for their Heavy Cavalry. They invented Kataphraktoi I think.
The Khazar knew agriculture, built important cities, yet they were a steppe people, and all their cavalry wasn't heavily armoured aswell. And they had some quite good heavy cavalry.
As for the Khazar's religion, well I have no idea how many of them converted to Judaism, but in the high middle age, Khazar was kinda like Israel : the place where all jews wished to live in.
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