First Officer reported receiving an EGPWS terrain alert while executing a visual approach. Crew initiated a go-around and returned for a normal landing.

Narrative

During the descent into approach phase of the flight into AVP; we received vectors for right downwind runway 22. Initial assigned altitude to descent was 6000ft prior to abeam the airport then to 4000ft. ATC cleared us for visual runway 22 as field in sight" was reported. PF asked PM to bug 2800 on altitude bug and activated vectors to final.The highest terrain to the north of the airport was briefed during approach brief; PF flew past the highest terrain and to maintain visual separation from other terrains followed on the downwind. Once about 5 miles from FAF; WEXIN; PF started base turn and initiated descent to capture GS. Right as we're turning base; ATC asked if we were going to initiate base turn which had both PF and PM thinking everything looked good. This descent continued as we were lining up with LOC 22. Since the approach was offset LOC; at this point during the approach; PF was now then focused on to look out the runway. As we were descending through 3000ft; EGPWS (Enhanced Ground Proximity Warning System) triggered "Terrain; terrain" alert. CA initiated go around procedure to climb to published missed approach altitude and gave control back to me after we were at the altitude. We requested vectors for ILS 22. Flight was complete with no further issues.Suggestions: Although terrain function was on the MFD (Multi-function Flight Display) the entire time during the approach; to avoid activating vectors to final to use step down altitude as reference to guarantee visual separation with terrain could have mitigated this incident especially as the airport being terrain airport and my first time flying into it. Also; I could've requested ILS instead of accepting visual approach to use published altitude depicted on approach plate and follow navigation guidance rather than relying on visual judgement."