- Kalmykia, officially the Republic of Kalmykia, is a republic of Russia, located in the North Caucasus region of Southern Russia. The republic is part of the Southern Federal District, and borders Dagestan to the south and Stavropol Krai to the southwest; Volgograd Oblast to the northwest and north and Astrakhan Oblast to the north and east; Rostov Oblast to the west and the Caspian Sea to the east. Through the Caspian Depression, the Kuma river forms Kalmykia’s natural border with Dagestan. Kalmykia is the only region in Europe where Buddhism is the predominant religion.