A challenger? I’m not a native English speaker but I think when people hear that word they naturally assume the challenge is not set by the challenger. I don’t want to imply that.
If no such word exists, a synonym (informal if necessary) for a courageous person (in one word) would be the next best thing.
I can’t think of a word for a person who would specifically choose to face challenges, but there are several names for roles that essentially boil down to that:
Challenger isn’t quite wrong too – as one can challenge the inanimate too: a mountain-climber, who challenged the K-2.