Don't do Brahms. they require a lot of maturity to pull off.
Same goes with Rachmaninoff (at least for a first concerto)
Prokofiev 3 IS bloody hard, but definitely doable for a student.
Liszt is good.
But all of the above are warhorses and should NOT be played as first concerto.
Any Mozart, Beethoven 1, or Haydn D major are usually people's first concerti.
However, since this is your first (LRSM and haven't learned a concerto yet?), you could probably be able to pull off many concerti harder than the 3 I justed mentioned. Try Grieg, Ravel, Beethoven 3, Mendelssohn 1, Schumann, Saint-Saens 2, Prokofiev 1, or Liszt 1.
Good luck.